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Woodshedder, TA -
Looked like an interesting puzzle and I took a look at it over a cup of
coffee (actually it took 2 cups). Thought it might make a good example
for AmibrokerU, but probably not. BTW, kudos to Woodsheeder for sticking
with it as a new user.
Anyway, my first reaction when I saw the mixing of mid-level and
low-level CBT code was - in general, probably not a good idea. There
can be some subtle issues. There is also a very minor bug with MaxBuys,
but it has no effect.
As TA said, it can be tough to tell without your code and your settings.
But, I think that the easiest way to make the results match the 10
position test that Woodshedder mentions is to do the following (I know
it may seem odd) -
Comment out the bo.EnterTrade() call.
Now, if that works and you don't need to know the explanation of what I
think might be the problem, stop here.
-- BruceR
--- In amibroker@xxxxxxxxxxxxxxx, "woodshedder_blogspot"
<woodshedder_blogspot@xxx> wrote:
>
> TA, no doubt it works in RegularRaw2. I completely agree. I'm just
confused now as to what is happening when I change the mode to Regular.
> Thanks!
>
> --- In amibroker@xxxxxxxxxxxxxxx, "ta" tagroups@ wrote:
> >
> > Not seeing your setting it is difficult to see why your results
don't match.
> > I know the code that I gave you works. I have tested it extensively.
TA
> >
> >
> >
> > From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]
On Behalf
> > Of woodshedder_blogspot
> > Sent: Tuesday, September 29, 2009 7:28 PM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: [amibroker] Re: Help Limiting number of positions added per
day
> >
> >
> >
> >
> >
> > 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
<mailto:amibroker%40yahoogroups.com> ,
> > "woodshedder_blogspot" <woodshedder_blogspot@> 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
<mailto:amibroker%40yahoogroups.com> ,
> > "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%40yahoogroups.com>
> > [mailto:amibroker@xxxxxxxxxxxxxxx
<mailto:amibroker%40yahoogroups.com> ] On
> > Behalf
> > > > Of woodshedder_blogspot
> > > > Sent: Sunday, September 27, 2009 9:52 PM
> > > > To: amibroker@xxxxxxxxxxxxxxx
<mailto:amibroker%40yahoogroups.com>
> > > > 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>
> > <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%40yahoogroups.com>
> > > > [mailto:amibroker@xxxxxxxxxxxxxxx
<mailto:amibroker%40yahoogroups.com>
> > <mailto:amibroker%40yahoogroups.com> ] On
> > > > Behalf
> > > > > Of woodshedder_blogspot
> > > > > Sent: Saturday, September 26, 2009 3:52 PM
> > > > > To: amibroker@xxxxxxxxxxxxxxx
<mailto:amibroker%40yahoogroups.com>
> > <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>
> > > > <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%40yahoogroups.com>
> > > > > [mailto:amibroker@xxxxxxxxxxxxxxx
<mailto:amibroker%40yahoogroups.com>
> > <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>
> > > > <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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