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TA Quant, and anyone else, I figured out why the code was taking so long to run. It is because the setbacktestmode was set to RegularRaw2. When I set it to RegularRaw, it runs as normal, and removes redundant signals (which I want).
However, if I set the code to allow 10 max buys a day, the results do not match results generated without the custom backtester code, when I just use a max of 10 positions. It seems that it should be the same as 10 max buys a day should be the same as allowing a maximum of 10 positions but not limiting the number of new positions allowed at one time.
I've included the code below, as suggested by TA. Thanks for any help with this!
MaxBuys = 5;
SetBacktestMode( backtestRegular );
SetCustomBacktestProc("");
if ( Status( "action" ) == actionPortfolio )
{
bo = GetBacktesterObject();
bo.PreProcess();
for ( i = 0; i < BarCount; i++ )
{
CntBuys = 0;
for ( sig = bo.GetFirstSignal( i ); sig; sig = bo.GetNextSignal( i ) )
{
if ( sig.IsEntry() )
{
// this handles limiting of number of order per day
CanEnter = False;
if ( CntBuys <= MaxBuys )
{
bo.EnterTrade( i, sig.Symbol, True, sig.Price, sig.PosSize, sig.PosScore, RoundLotSize = 10);
CanEnter = True;
CntBuys++;
}
if ( ! CanEnter ) sig.Price = -1;
}
}
bo.ProcessTradeSignals( i );
}
bo.PostProcess();
}
--- In amibroker@xxxxxxxxxxxxxxx, "woodshedder_blogspot" <woodshedder_blogspot@xxx> wrote:
>
> Yes, you're right, it eventually finishes the report. I'm looking back about 3 years right now, which is 670 trades, and it has taken it over 5 minutes, but it finishes.
>
> This is exactly what I've been looking for, so again,I really appreciate the help.
> --- In amibroker@xxxxxxxxxxxxxxx, "ta" <tagroups@> wrote:
> >
> > I think it has to do with number traders/signals that your system generate.
> > I have tested it over ten years with a system that generates about 2000
> > trades. It takes about 3 minutes. I don't think that AA is unresponsive. I
> > think it is processing the signals. Let go I am sure it will finish.
> >
> >
> >
> > From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf
> > Of woodshedder_blogspot
> > Sent: Sunday, September 27, 2009 9:52 PM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: [amibroker] Re: Help Limiting number of positions added per day
> >
> >
> >
> >
> >
> > Yes, that code is working. Thanks TA!
> >
> > Is it normal though for it cause the AA window to go non-responsive when
> > backtesting a range of more than 1 year?
> >
> > I can test over 9 months and it works-with about a minute delay between the
> > backtest finishing and the report being generated.
> >
> > If I test over much more than 9 months, it never generates the report-
> > instead it just seems to keep processing something.
> >
> > Thanks!
> >
> > --- In amibroker@xxxxxxxxxxxxxxx <mailto:amibroker%40yahoogroups.com> , "ta"
> > <tagroups@> wrote:
> > >
> > > Since you have not posted your code I can not debug it for you but the
> > > following code works for me:
> > >
> > >
> > >
> > > MaxBuys = 5;
> > > SetBacktestMode( backtestRegularRaw2 );
> > > SetCustomBacktestProc("");
> > > if ( Status( "action" ) == actionPortfolio )
> > > {
> > > bo = GetBacktesterObject();
> > > bo.PreProcess();
> > > for ( i = 0; i < BarCount; i++ )
> > > {
> > > cntBuys = 0;
> > > for ( sig = bo.GetFirstSignal( i ); sig; sig = bo.GetNextSignal( i ) )
> > >
> > > {
> > > if ( sig.IsEntry() )
> > > {
> > > // this handles limiting of number of order per day
> > > CanEnter = False;
> > > if ( CntBuys <= MaxBuys )
> > > {
> > > bo.EnterTrade( i, sig.Symbol, True, sig.Price, sig.PosSize,
> > > sig.PosScore, RoundLotSize = 1);
> > > CanEnter = True;
> > > CntBuys++;
> > > }
> > > if ( ! CanEnter ) sig.Price = -1;
> > > }
> > > }
> > > bo.ProcessTradeSignals( i );
> > > }
> > > bo.PostProcess();
> > > }
> > >
> > >
> > >
> > > From: amibroker@xxxxxxxxxxxxxxx <mailto:amibroker%40yahoogroups.com>
> > [mailto:amibroker@xxxxxxxxxxxxxxx <mailto:amibroker%40yahoogroups.com> ] On
> > Behalf
> > > Of woodshedder_blogspot
> > > Sent: Saturday, September 26, 2009 3:52 PM
> > > To: amibroker@xxxxxxxxxxxxxxx <mailto:amibroker%40yahoogroups.com>
> > > Subject: [amibroker] Re: Help Limiting number of positions added per day
> > >
> > >
> > >
> > >
> > >
> > > TA, thanks for the help.
> > > I'm having a problem with this line:
> > > bo.PostProcess();
> > >
> > > This is the error I'm getting: "Error 18 COM object variable is not
> > > initialized or has invalid type (valid COM object handle required)
> > >
> > > Wood
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx <mailto:amibroker%40yahoogroups.com>
> > <mailto:amibroker%40yahoogroups.com> , "ta"
> > > <tagroups@> wrote:
> > > >
> > > > You need to use Custom Backtester as follows:
> > > >
> > > >
> > > >
> > > > MaxBuys = 5;
> > > >
> > > > SetBacktestMode( backtestRegularRaw2 );
> > > >
> > > > SetCustomBacktestProc("");
> > > >
> > > > if ( Status( "action" ) == actionPortfolio )
> > > >
> > > > {
> > > >
> > > > bo = GetBacktesterObject();
> > > >
> > > > bo.PreProcess();
> > > >
> > > >
> > > >
> > > > for ( sig = bo.GetFirstSignal( i ); sig; sig =
> > > > bo.GetNextSignal( i ) )
> > > >
> > > > {
> > > >
> > > > if ( sig.IsEntry() )
> > > >
> > > > {
> > > >
> > > > // this handles limiting of number of order
> > > > per day
> > > >
> > > > CanEnter = False;
> > > >
> > > > if ( CntBuys <= MaxBuys )
> > > >
> > > > {
> > > >
> > > >
> > > > bo.EnterTrade( i, sig.Symbol, True, sig.Price, sig.PosSize,
> > sig.PosScore,
> > > > RoundLotSize = 1);
> > > >
> > > > CanEnter =
> > > > True;
> > > >
> > > > CntBuys++;
> > > >
> > > > }
> > > >
> > > >
> > > >
> > > > if ( ! CanEnter )
> > > >
> > > > sig.Price =
> > > > -1;
> > > >
> > > > }
> > > >
> > > > }
> > > >
> > > > bo.ProcessTradeSignals( i );
> > > >
> > > > }
> > > >
> > > > bo.PostProcess();
> > > >
> > > > }
> > > >
> > > >
> > > >
> > > > From: amibroker@xxxxxxxxxxxxxxx <mailto:amibroker%40yahoogroups.com>
> > <mailto:amibroker%40yahoogroups.com>
> > > [mailto:amibroker@xxxxxxxxxxxxxxx <mailto:amibroker%40yahoogroups.com>
> > <mailto:amibroker%40yahoogroups.com> ] On
> > > Behalf
> > > > Of woodshedder_blogspot
> > > > Sent: Thursday, September 24, 2009 8:25 PM
> > > > To: amibroker@xxxxxxxxxxxxxxx <mailto:amibroker%40yahoogroups.com>
> > <mailto:amibroker%40yahoogroups.com>
> > > > Subject: [amibroker] Help Limiting number of positions added per day
> > > >
> > > >
> > > >
> > > >
> > > >
> > > > Greetings group.
> > > >
> > > > I want to limit the number of positions a system will take on any given
> > > day.
> > > >
> > > >
> > > > For example, if a system can handle 20 max positions, I would like it to
> > > > only take on 5 new positions a day (assuming there are more than 5 valid
> > > > signals per day) until it arrives at 20 positions, rather than taking on
> > > all
> > > > available positions on day 1.
> > > >
> > > > Thanks for your help.
> > > >
> > >
> >
>
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