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Bruce, I really appreciate you taking the time to explain things.
>From your earlier hint about the buggy MaxBuys statement, I was able to figure out that it was allowing the system to take 1 position more than specified.
What you have said about the bo.EnterTrade makes perfect sense now. Even this AB newbie could understand it clearly!
Also I have heard from a couple people through email that they would love for AmiBroker to have this functionality built in, so until it does, I think this code may make a great addition to AmiBrokerU.
Thanks again Bruce.
--- In amibroker@xxxxxxxxxxxxxxx, "Bruce" <brucer@xxx> wrote:
>
> 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@> 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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