|
PureBytes Links
Trading Reference Links
|
I've thought that it's just required to define the difference between bo.Equity (which - as I've understood - is current value of our intial equity and all open positions) and bo.Cash (initial capital minus cost of opening position that is margin deposit) in order to estimate if trades are gainers/losers and, thus, current available capital...? Isn't it like that?
--- In amibroker@xxxxxxxxxxxxxxx, Ilhan Ketrez <ketrezilhan@xxx> wrote:
>
> Yes. Simple backtester doesn't know the equity and capital available.
> CBI does know the Equity.
> Even the CBI doesn't know the actual available capital unless we define and
> calculate ourselves.
> And even if we define and calculate, we still cannot utilize it when we need
> since we cannot define it as BacktesterObject.Cash.
> BacktesterObject.Cash gives the difference of Equity - entry time (shares *
> margindeposit). Cash earned/lost by the position stays in the position and
> doesn't change the BacktesterObject.Cash.
>
>
> 2010/2/10 B S <bs2167@xxx>
>
> >
> >
> > Yes, thanks...that's similar logic to what Paul Ho suggested with his
> > multiplex function, but it unfortunately does not address the issue of
> > picking between simultaneous signals from multiple systems based upon the
> > capital available to each system (unknown until you get to that bar in the
> > backtest loop).
> >
> > ------------------------------
> > *From:* Ilhan Ketrez <ketrezilhan@xxx>
> > *To:* amibroker@xxxxxxxxxxxxxxx
> > *Sent:* Wed, February 10, 2010 2:18:41 PM
> > *Subject:* Re: [amibroker] Multiple Systems & Risk Mgmt in one formula
> >
> >
> >
> > Setting different ranges of scores and buy-sell prices for different
> > systems by simple IIF function may be a solution, at least lightens the
> > problem I guess.
> >
> > 2010/2/10 B S <bs2167@xxxxxx com <bs2167@xxx>>
> >
> >>
> >>
> >> Hi-
> >>
> >> I asked Marcin a question related to this earlier, but given the
> >> considerable interest in the past on this board regarding managing multiple
> >> systems, I'd thought put some further thoughts here. My understanding of
> >> the conclusion reached during the last round of discussions was that each
> >> individual should use low-level CBT to accomplish their multiple systems
> >> management goals. So I've done that, but in the end its of no practical use
> >> because of the incredible number of static arrays that were required to do
> >> it - it 'works' on small samples/tests but the memory demands are too great
> >> for things that I'd actually use it for. As my objectives were rather
> >> simple, I imagine that others are still wrestling with similar issues.
> >>
> >> As an example, part of my plan was to limit the % of equity that was
> >> employed by any one system at a given time. Therefore, while in the
> >> backtester I needed to know which system or systems generated the signal.
> >> So I started by creating a static array that i could later access in the
> >> CBT which contained flags (1,2,4,etc.) indicating which system or systems it
> >> came from. However, because of the memory issues, I decided to stuff these
> >> flags into the positionsize property and just determine the actual size
> >> later while looping through CBT. That allowed me to determine which systems
> >> signals were coming from, and then choose which model to allocate the trade
> >> to (in the event of multiple simultaneous signals), but I still needed to
> >> get the correct entry price. There could be as many entry prices as I have
> >> systems, and since I don't know which I'll be using until I get to the
> >> backtester, I needed to store all of them - another static array. This
> >> process continued like this and then it occurred to me that just about all
> >> of these issues would go away if I could just attach the information I
> >> needed to the entry signal object. So for example, the user could set
> >> PositionSize1, PositionSize2, PositionScore1, PositionScore2, BuyPrice1,
> >> BuyPrice2, and so on...or perhaps just dummy variables... Dummy1, Dummy2,
> >> etc.. I'm sure there's a memory cost to doing this, but it can't be
> >> anything like storing all these static arrays (is this correct? i really
> >> have no idea what i'm talking about). Also, I'm sure just making these
> >> additional property slots available will come at some performance cost, but
> >> perhaps adding them could be an option in settings.
> >>
> >> For all I know, editing the number of properties that can be stored in a
> >> signal object is already possible - is it? If not, do others think this
> >> would be useful? Is there a better way of achieving the types of things
> >> that I'm trying to do?
> >>
> >> Appreciate any dialogue whatsoever on this - have spent an embarassing
> >> amount of time on it without much to show for it.
> >>
> >>
> >>
> >
> >
> >
>
------------------------------------
**** IMPORTANT PLEASE READ ****
This group is for the discussion between users only.
This is *NOT* technical support channel.
TO GET TECHNICAL SUPPORT send an e-mail directly to
SUPPORT {at} amibroker.com
TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
(submissions sent via other channels won't be considered)
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> Your email settings:
Individual Email | Traditional
<*> To change settings online go to:
http://groups.yahoo.com/group/amibroker/join
(Yahoo! ID required)
<*> To change settings via email:
amibroker-digest@xxxxxxxxxxxxxxx
amibroker-fullfeatured@xxxxxxxxxxxxxxx
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|