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CBT Discussion.
I have been using CBT. I have read the documentation and presentations. These provide some help. Some. I was surprise to find that IsEntry() and others have no meaning with rotational trading. This was very confusing to me. I do not understand the reasoning but I am learning how to get around this. I was also surprised to find few examples to help.
I wanted to use CBT to normally rotate on the first of the month, but also to either (1) exit and rotate or (2) exit to cash, if the ranking of a position feel below a certain level during the month. I started out with exit and rotate, but I did not like this as AB treated each market day the same. Again, I wanted rotation of the first of the month with exit/rotate on any other day if the ranking for a position fell below a certain level. I was ending up with rotation on any day of the month with exit/rotation on other than the first of the month if ranking fell below a certain level. Not what I wanted.
In time, I figured out how to do what I needed. Here is the CBT code.
SetOption("UseCustomBacktestProc", True );
// for rotational trading afl
// targdate2 is one day delay from first of month
// worst_held_rank1 is 6 and worst_held_rank3 is 10
//
barDates = DateTime();
if( Status("action") == actionPortfolio )
{
bo = GetBacktesterObject();
bo.PreProcess();
for( bar = 0; bar < BarCount; bar++ )
{
barDate = barDates[bar];
if( targdate2[ bar ] )
{
TopSymbols = "";
for( i = 0, sig = bo.GetFirstSignal( bar );
sig AND i < Worst_Held_Rank1;
sig = bo.GetNextSignal( bar ), i++ )
{
TopSymbols += sig.Symbol + ",";
}
OpenPos = "";
OpenPosCnt = 0;
for( pos = bo.GetFirstOpenPos(); pos; pos = bo.GetNextOpenPos() )
{
OpenPos += pos.Symbol + ",";
OpenPosCnt++;
if( NOT StrFind( TopSymbols, pos.Symbol + "," ) )
{
_TRACE(NumToStr(barDate, formatDateTime) + " Exiting position not found in top list: " + pos.Symbol );
bo.ExitTrade( bar, pos.Symbol, pos.GetPrice( bar, "C" ), 9 ); // modify price field if needed here
}
}
_TRACE(NumToStr(barDate, formatDateTime) + " Top " + Worst_Held_Rank1 + " SYMBOLS: " + TopSymbols );
_TRACE( NumToStr(barDate, formatDateTime) + " OpenPos( " + OpenPosCnt + " ):" + OpenPos );
}
if( NOT targdate2[ bar ] )
{
TopSymbols = "";
for( i = 0, sig = bo.GetFirstSignal( bar );
sig AND i < Worst_Held_Rank3;
sig = bo.GetNextSignal( bar ), i++ )
{
TopSymbols += sig.Symbol + ",";
}
OpenPos = "";
OpenPosCnt = 0;
for( pos = bo.GetFirstOpenPos(); pos; pos = bo.GetNextOpenPos() )
{
OpenPos += pos.Symbol + ",";// List of those positions now open
OpenPosCnt++;
if( NOT StrFind( TopSymbols, pos.Symbol + "," ) )
{
_TRACE(NumToStr(barDate, formatDateTime) + " Exiting position not found in top list: " + pos.Symbol );
bo.ExitTrade( bar, pos.Symbol, pos.GetPrice( bar, "C" ), 8 ); // modify price field if needed here
}
}
_TRACE(NumToStr(barDate, formatDateTime) + " Top " + Worst_Held_Rank3 + " SYMBOLS: " + TopSymbols );
_TRACE( NumToStr(barDate, formatDateTime) + " OpenPos( " + OpenPosCnt + " ):" + OpenPos );
TradePos = "";
TradePosCnt = 0;
KeepDate = False;
for( tra = bo.GetFirstTrade(); tra; tra = bo.GetNextTrade() )
{
TradePos += tra.Symbol + ",";// List of those positions now closed
TradePosCnt++;
if( tra.ExitDateTime == barDate )
{
KeepDate = True;// Is date we need to EnterTrade
_TRACE( NumToStr(barDate, formatDateTime) + "KEEPDATE(" + KeepDate + ") " + tra.Symbol + ": " + NumToStr(tra.EntryDateTime, formatDateTime) + " " + NumToStr(tra.ExitDateTime, formatDateTime ) );
}
}
//bo.UpdateStats( bar, 2 );
_TRACE( NumToStr(barDate, formatDateTime) + " TradePos( " + TradePosCnt + " ):" + TradePos );
for( sig = bo.GetFirstSignal( bar ); sig; sig = bo.GetNextSignal( bar ) )
{
// sig.IsEntry is always -1. It is of no value in Rotational afl
//if(sig.IsEntry()) //Does not work in Rotational Trading
{
ThePrice[bar] = sig.Price;// Needed later for EnterTrade
sig.Price = -1;//forces no rotation on non-targdates
if(KeepDate)
//if( OpenPosCnt < Max_Open_Positions )
if( NOT StrFind( OpenPos, sig.Symbol + "," ) )
{
bo.EnterTrade(bar, sig.Symbol, True, ThePrice[bar], sig.PosSize, sig.PosScore);
_TRACE( NumToStr(barDate, formatDateTime) + " OpenPos( " + OpenPosCnt + " ):" + OpenPos + " Sym: " + sig.Symbol + "Pri: " + ThePrice[bar]
+ " Sco: " + sig.PosScore );
}
}
}
}
bo.ProcessTradeSignals( bar );
}
bo.PostProcess();
}
_SECTION_END();
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