Re: [amibroker] Re: Help Limiting number of positions added per day, AmiBroker Email List Archive

On Wed, Sep 30, 2009 at 7:05 AM, woodshedder_blogspot <woodshedder_blogspot@xxxxxxxxx> 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@xxx> 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.
> > > > >
> > > >
> > >
> >
>