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.
> > > >
> > >
> >
>
