Hi Mark,
OK, now Mike has confused me. Do you want to develop a system that is
being backtested, or do you want to generate a list of trade candidates each day
which you will then trade manually, i.e. with discretion? I understood you
to want to see a list of trade candidates each day, hence my two watchlist
approach. If however you are looking to have a backtested system, then
Mike is right -- you do not need to do my dual watch list approach. I'm going to
wait for your response before I start coding in any event.
FWIW (and perhaps you already do this), I think it is only smart to first
filter to a watchlist only the stocks you would consider trading, rather than
testing on every stock traded. This speeds up your testing and you can
update the "My Tradable Stocks" watchlist periodically. For example, if
your account size would only allow you to buy 10 shares of GOOG, after applying
your position and money management rules, why waste time scanning against GOOG?
In my case, I never trade stocks under $5 or with less than 125,000 traded on
average over the past 21 days so that is my first cut. Beyond that I have
several others as I usually do not enter positions in stocks that are under $7.5
and under 250,000 average daily shares traded (this because I short almost as
often as I go long). And I further look for stocks that are likely to be
good movers, so I have volatility ATR and range filters, trending filters,
momentum filters, etc. When all is said and done, I have a manageable list of
stocks on which I do pattern analysis, S&R studies, etc. And at the
core of it all are a stable of about 3 dozen stocks which I trade all the time,
the composition of which can change based on the foregoing studies.
Sorry to go on so. An excellent day of trading, and I'm still
unwinding.
Peace and Justice --- Patrick
----- Original Message -----
Sent: Thursday, March 04, 2010 1:04
PM
Subject: [amibroker] Re: Howto backtest
only the top 10 stocks even though your filter list gives you
Hi,
If I understand you correctly, there should be no
need to have a second filter. Just set PositionScore to HV100 and max
positions to 10. The backtester will automatically sort by PositionScore and
take the highest ranking signals up to and including max
positions.
However, the above only applies for absolute entries. If
your entries are conditional entries (i.e. limit orders), then you have to do
some special handling and custom backtesting code.
Mike
--- In
amibroker@xxxxxxxxxxxxxxx,
"mbluhm2001" <mbluhm2001@xxx> wrote:
>
> I'm back testing
the whole universe of stocks and i have a filter criteria to reduce that down
to possible candidates. Some days i get 5 stocks other days i might get 100
stocks. If i have more than 10 stocks I want to only take the 10 stocks that
have the highest HV100. This is easy to see each day when i scan but I want to
back test this and this is the problem. Effectively i'm using a filter that
gets me the initial list of stocks and then i want to take that list, scan it
and then take the top 10 HV100 stocks.
>
> Just to repeat this
another way, the question is how can i effectively use a 2nd filter (and the
min value for this filter isn't know until after i have the list of possible
stocks to trade for that day) to reduce list to max 10.
>
>
Thanks,
>
Mark
>
------------------------------------
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