[amibroker] Re: Howto backtest only the top 10 stocks even though your filter list gives you >10

["mbluhm2001" <mbluhm2001@xxxxxxxxx>]

Thanks for all of the replies.  And yes i'm trying to Backtest the strategy.  

So i use the position score to give me the top stocks based on HV100 (high 100 day volatility) and set the max stocks to 10. BUT the problem is that the backtester will take the 1st 10 stocks that trigger the trade whether the its the 1st 10 or the last 10 (assuming there are more than 10 stocks that met the buy signals).  

So what i want is to grab only the top 10 stocks and then take trades on them only.

I can do this manually with the explorer by sorting by the HV100 and then only taking the top ten to trade the next day.  What I don't know how to do is get the Backtester to do this.

I believe that i've read the manuals but don't see how to implement this. Very sorry if its there, so if i have missed it then please point it out. It would be very appreciated.

Thanks,
Mark


 



--- In amibroker@xxxxxxxxxxxxxxx, Tomasz Janeczko <groups@xxx> wrote:
>
> Hello,
> 
> Use PositionScore  - it does exactly the RANKING of signals and chooses 
> top N-ones.
> As always everything is in the manual:
> http://www.amibroker.com/guide/h_portfolio.html
> 
> Best regards,
> Tomasz Janeczko
> amibroker.com
> 
> On 2010-03-04 15:21, mbluhm2001 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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------------------------------------

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