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Woodshedder -
Got delayed. But, I said I would try to explain. I really was hoping you wouldn't ask, so buckle your seat belt :-) As I mentioned, mixing mid-level code with low-level code is generally not a good idea. Recall that the "bar" loop that you used looked like this -
{
CntBuys = 0;
for ( sig = bo.GetFirstSignal( i ); sig; sig = bo.GetNextSignal( i ) )
{
if ( sig.IsEntry() )
{
CanEnter = False;
if ( CntBuys <= MaxBuys )
{
bo.EnterTrade( i, sig.Symbol, True, sig.Price, sig.PosSize, sig.PosScore,
RoundLotSize = 0 );
CanEnter = True;
CntBuys++;
}
if ( ! CanEnter )
sig.Price = -1;
}
}
bo.ProcessTradeSignals( i );
}
BTW,the way that MaxBuys is constructed the statement should have been if (CntBuys < MaxBuys) ... but that's not the real problem. The basic problem is that the bo.EnterTrade call will generate additional trades if redundant buy signals exist along with certain sell signal positions because it is operating IN ADDITION TO the bo.ProcessSignals() call. You have not posted your signal code so I can not tell you what in particular is problematic. So let's just assume it happens, then I'll give an example that hopefully has a coding nugget also.
If redundant signals exist, bo.EnterTrade is going to do exactly what you tell it - whether"multi" is set or not. If you are already in a trade for that ticker,it will enter a second position. It should be straightforward to see that this will change the equity result in your case.
Regarding redundant signals, I'll offer an example of how it can happen when you don't expect it. Consider this construct -
Buy = Cross( C, MA( C, 5 ) );
Sell = Cross( MA( C, 5 ), C );
At first blush, it looks like it can't generate redundant signals. Cross yields a 1 then the difference between the two arguments goes from<= 0 to > 0. But, consider this sequence. Price goes above MA,then retreats to EXACTLY the MA, then goes up. You would get two buys. Normally this doesn't happen because price is 2 decimal places and the MA has greater precision. But, with dividend adjusted data, such as funds that have more decimal digits, it CAN and DOES happen.
Bottom line is that bo.EnterTrade can force multiple trades without the"multi" backtest mode. It is doing what you told it to because in using the low-level CBT, you are taking control.
So, I just suggested commenting out the low-level code and letting the CBT run in mid-level mode and be subject the backtest mode that you had set.
I hope that explains everything well enough for now. I'll explore aspects of the CBT and some debugging techniques in the future on AmibrokerU.
-- BruceR
--- In amibroker@xxxxxxxxxxxxxxx, "woodshedder_blogspot" <woodshedder_blogspot@xxx> wrote:
>
> Thanks Bruce! By commenting out the bo.EnterTrade call, results match the results not using the combo low/med level code.
>
> If it is not too much trouble, I would like to know the reason behind why it is now working.
>
> And finally, it should now work to limit new buys per day, no?
>
> Again, thanks!
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Bruce" brucer@ wrote:
> >
> > 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@> 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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