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Re: [amibroker] Re: Position Opened When No Funds Available



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Curve fitting is one of the two main pitfalls in stock system development (the other is survivorship bias).
They come in many forms and have cost me a lot of $$$.
I would be very cautious if there are more than 3 degrees of freedom (variables). Forward walking and 3-D analysis would help, but it is hard to eliminate, especially when getting all too excited about those phenomenal performance numbers.


On Wed, Sep 16, 2009 at 5:00 PM, Brandon_Ridenour <brandon_ridenour@xxxxxxxxx> wrote:
 

Its a fair point...i really need to look into switching over to the CBI. I need to quit my job so i can do this full time.

I have had my share of experiences with curve fitting, but i really thought i had a solid system this time. 10+ years of backtesting, 1000's of trades, consistent profit year after year...and then this slight change, which only impacted a few trades per year, radically altered the performance.

Its really crazy since I had been tweaking positionscore with this system previously, causing it to take different sequences of trades, and the performance was staying solid.

Not sure what to make of it...



--- In amibroker@xxxxxxxxxxxxxxx, Mark Hike <markhike@xxx> wrote:
>
> I read Graham's note as that you can use the value in sell array to tell
> what has happened, probably for reporting purpose. Obviously there is some
> undocumented effect of setting the value. I would be wary of this kind of
> "hack", because sometimes one doesn't really know what's going on. I like
> the low level CBI because you can look at all the signals, positions,
> trades, equity etc bar by bar and have total control of what's going on.
>
> As to your bigger problem, been there done that :-)
>
> On Wed, Sep 16, 2009 at 4:04 PM, Brandon_Ridenour <
> brandon_ridenour@xxx> wrote:
>
> >
> >
> > I had reached the same conclusion, that i would need to use the CBI to work
> > around this, but I'm very happy to have avoided it.
> >
> > This problem only happens if you are managing your stops manually -- here
> > is how you can fake it so it thinks you are using applystop(), and it solves
> > this problem. Its in the notes at the bottom of the link.
> >
> > Now, my bigger problem is a system I have been using and had backtested
> > over 10 years no longer performs adequately after making this change. :-/
> >
> > -------
> >
> > http://www.amibroker.com/guide/afl/afl_view.php?id=20
> >
> > Graham Kavanagh
> > gkavanagh [at] e-wire.net.au
> > 2004-09-30 21:55:42 from equity comments
> >
> > Depending on kind of the stop various values
> > are written back to sell/cover array to enable you to distinguish if given
> > signal was generated by regular rule or by stop.
> >
> > 1 - regular exit
> > 2 - max. loss
> > 3 - profit target
> > 4 - trailing
> > 5 - n-bar stop
> > 6 - ruin stop
> >
> > --- In amibroker@xxxxxxxxxxxxxxx <amibroker%40yahoogroups.com>,

> > "sdkingman" <markhike@> wrote:
> > >
> > > Interesting. I could not find anything in the user guide saying that you
> > can set sell/cover signal to 4 or other value to affect the way stops
> > behave. (The only thing I found was in Equity() function, sell/cover arrays
> > would be filled with some number to indicate what kind of exit has taken
> > place)
> > >
> > > To handle the complex situation you described, I think that low level CBT
> > would be the right way to go.
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx <amibroker%40yahoogroups.com>,

> > "Brandon_Ridenour" <brandon_ridenour@> wrote:
> > > >
> > > > I may have found a solution to this. When I manually set the sell/cover
> > signal, I am now setting it to a value of '4', rather than '1'. When setting
> > it this way, ActivateStopsImmediately seems to apply properly.
> > > >
> > > > Basically, this fakes out as if I were using the ApplyStops function (i
> > think)
> > > >
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx <amibroker%40yahoogroups.com>,

> > "Brandon_Ridenour" <brandon_ridenour@> wrote:
> > > > >
> > > > >
> > > > > I noticed this additional note:
> > > > >
> > > > > "a) (if you want to have stops executed AFTER regular signals, so
> > cash from stopped out positions is NOT available to enter trades the same
> > day)
> > > > > ActivateStopsImmediately turned ON "
> > > > >
> > > > >
> > > > > It seems to suggest that ActivateStopsImmediately addresses this
> > issue of making sure the freed up equity is not made available the same day.
> > > > >
> > > > >
> > > > > In my case, because I have custom stop logic and am not using the
> > ApplyStops function, I am using regular Sell/Cover signals to close
> > positions. I set tradedelays(1,0,1,0).
> > > > >
> > > > > If I understand the logic correctly, the backtester is improperly
> > using my capital in this scenario, and because my stop logic is custom,
> > activatestopsimmediately is not effective.
> > > > >
> > > > > Is there any way to prevent this issue from occurring?
> > > > >
> > > > > Thanks
> > > > >
> > > > > --- In amibroker@xxxxxxxxxxxxxxx <amibroker%40yahoogroups.com>,

> > "sfclimbers" <sfclimbers@> wrote:
> > > > > >
> > > > > > Read the notes provided for ActiveStops and see if you recognized
> > your strategy.
> > > > > >
> > > > > > http://www.amibroker.com/guide/afl/afl_view.php?id=20
> > > > > >
> > > > > > You may find that changing the setting (from AA window) for
> > > > > >
> > > > > > ActivateStopsImmediately will fix your problem.
> > > > > >
> > > > > > Mike
> > > > > >
> > > > > > --- In amibroker@xxxxxxxxxxxxxxx <amibroker%40yahoogroups.com>,

> > "Brandon_Ridenour" <brandon_ridenour@> wrote:
> > > > > > >
> > > > > > >
> > > > > > > By the way, i have trade delays for Buy and Short set to 1,
> > meaning it buys on the morning after the signal is generated. I just need it
> > to use the available balance from either the day the signal was generated,
> > or at the exact market open. It seems to be calculating available
> > funds/balance based on the close of the next day.
> > > > > > >
> > > > > > >
> > > > > > > --- In amibroker@xxxxxxxxxxxxxxx <amibroker%40yahoogroups.com>,

> > "Brandon_Ridenour" <brandon_ridenour@> wrote:
> > > > > > > >
> > > > > > > > Hi,
> > > > > > > >
> > > > > > > > I have a system that opens positions only at the market open of
> > a trading day. At market open, it should calculate the position size based
> > on the funds currently available at that time.
> > > > > > > >
> > > > > > > > Today there was a signal at market open but no funds available.
> > Later during the day, a trailing stop was hit on one of my open positions,
> > causing that position to be closed.
> > > > > > > >
> > > > > > > > Tonight when I updated all quotes and ran the backtest,
> > Amibroker shows the position from market open being opened, even there are
> > no funds available. I can only assume that it believes funds were available
> > because of the position which was exited later in the day.
> > > > > > > >
> > > > > > > > Obviously, the system should not be able to use funds which
> > have not actually come available yet. How can I ensure that it will only
> > open positions if the funds are available at market open?
> > > > > > > >
> > > > > > > > Thanks,
> > > > > > > > Brandon
> > > > > > > >
> > > > > > >
> > > > > >
> > > > >
> > > >
> > >
> >
> >
> >
>




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