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

On Tue, Oct 6, 2009 at 1:44 AM, Tomasz Janeczko <groups@xxxxxxxxxxxxx> wrote:

Hello,

If you want raw signals, whenever possible use backtestRegularRaw, instead of Raw2.
As explained in the manual,
"Raw2 modes are "special" for advanced users of custom backtester. They are only useful if you do custom processing of exit signals
in custom backtester procedure. They should NOT be used otherwise, because of performance hit and memory consumption Raw2 modes
cause"

Custom processing of exit signals means that you DO NOT EXIT your position on first exit signal that occurs when position is open,
but you *ignore* one or more exit signals and act upon some late signal.

If you do not do the above, you should NOT use Raw2 mode because it is much slower.

The code below DOES NOT do this, therefore should NOT use Raw2 mode.

Best regards,
Tomasz Janeczko
amibroker.com

----- Original Message -----
From: "woodshedder_blogspot" <woodshedder_blogspot@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Tuesday, October 06, 2009 1:36 AM
Subject: [amibroker] Re: Help Limiting number of positions added per day

> Raskoks, I am not very good at this yet, but I can see a few things that might be causing problems.
>
> 1. SetBacktestMode( backtestRegularRaw2 ); Make sure that you want RegularRaw2. Raw2 does allow redundant signals.
>
> 2. newDayB=Ref(dn,-1)!= dn; I don't see where you have defined dn.
>
> 3. if ( CntBuys <= MaxBuys.....I had to take out the = sign so that it reads CntBuys<MaxBuys.
>
> Hope this helps,
> Wood
>
> --- In amibroker@xxxxxxxxxxxxxxx, "raskoks" <raskoks@xxx> wrote:
>>
>> Hi,maybe someone can tell me what i do wrong. I have smth like that (code below) and i need to have max only one transaction per
>> day. Morover every transacion is simply reversing position (always on market). But for this code signals which aren't use ( for
>> example buy signal when i already have long position) are count to daily limit. I really don't know why :).
>> Thanks for any help.
>>
>>
>> CondBuy=..;
>> CondShort=..;
>> Buy= CondBuy ;
>> Sell= CondShort ;
>> Short=Sell;
>> Cover=Buy;
>>
>> CurrentPos[0]=0;
>> MaxBuys = 1;
>> dnB = DateNum();
>> newDayB=Ref(dn,-1)!= dn;
>> SetBacktestMode( backtestRegularRaw2 );
>> SetCustomBacktestProc("");
>> if ( Status( "action" ) == actionPortfolio )
>> {
>> bo = GetBacktesterObject();
>> bo.PreProcess();
>> cntBuys =0;
>> for ( i = 0; i < BarCount; i++ )
>> {
>> if(newDayB[i]==1)
>> cntBuys = 0;
>>
>> for ( sig = bo.GetFirstSignal( i ); sig; sig =bo.GetNextSignal( i ) )
>> {
>>
>>
>> if ( CntBuys <= MaxBuys AND sig.IsLong()AND CurrentPos[0]!=1)
>> {
>> CanEnter = True;
>> CntBuys++;
>> CurrentPos[0]=1;
>> }
>> else if ( CntBuys <= MaxBuys AND NOT sig.IsLong()AND CurrentPos[0]!=-1) {
>> CanEnter = True;
>> CntBuys++;
>> CurrentPos[0]=-1;
>>
>> }
>> if ( ! CanEnter ) sig.Price = -1;
>>
>> }
>> bo.ProcessTradeSignals( i );
>> }
>> bo.PostProcess();
>> }
>>
>
>
>
>
> ------------------------------------

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