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Ilhan,
Thanks for the follow through.
I'll have to give this one some thought. I do have a strategy where at times, albeit briefly, I am fully leveraged and use profits to take on more positions.
When I get a little time, I will have to look into this further. I'll let you know what I come up with.
Mike
--- In amibroker@xxxxxxxxxxxxxxx, Ilhan Ketrez <ketrezilhan@xxx> wrote:
>
> Thank you for your efforts and support, Mike.
>
> Amibroker states that due to the ambiguity & variance in initial margin
> deposits and maintenance margin deposits,
> they prefer to include P&L in the position value variable and exclude it
> from Cash.
>
> Shortly, Amibroker support does not support this idea as you support.
> Perhaps they may support with your support :)
>
> Ilhan
>
>
> 2010/3/16 Mike <sfclimbers@xxx>
>
> >
> >
> > Hi,
> >
> > Yes, it would appear that you are correct. The default backtester does not
> > appear to make the position gains available for additional purchases.
> >
> > I ran the following test from 1/1/2009 - 12/31/2009 on a watchlist
> > containing IBM and ORCL. The expectation is that the profits from the IBM
> > position would be available to enter an ORCL position. However, the detailed
> > backtester message says that there was insufficient funds.
> >
> > SetOption("InitialEquity", 85);
> > SetOption("AllowPositionShrinking", true);
> > SetTradeDelays(0, 0, 0, 0);
> > SetPositionSize(2, spsShares);
> >
> > dates = DateNum();
> > firstBuyDate = ((2009 - 1900) * 10000) + (100 * 1) + 2;
> > secondBuyDate = ((2009 - 1900) * 10000) + (100 * 12) + 30;
> >
> > Buy =
> > (Name() == "IBM" AND dates == firstBuyDate) OR
> > (Name() == "ORCL" AND dates == secondBuyDate);
> > BuyPrice = Open;
> >
> > Sell = 0;
> >
> > Seems like it's worth a follow up to AmiBroker support.
> >
> > Mike
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, Ilhan Ketrez <ketrezilhan@> wrote:
> > >
> > > Let me correct my previous e-mail first (corrections are in red):
> > >
> > > Considering bo is the backtester object;
> > >
> > > In Amibroker:
> > > - bo.Equity is the bar by bar value of the equity
> > > - bo.Equity = bo.Cash + total value of positions //see below for
> > definition
> > > - bo.Cash = (Entry Bar)Equity - total(margindeposit*shares) // Stays
> > > constant as long as the positions are maintained
> > > - Value of position = margindeposit*shares +- position P&L
> > >
> > > In real life:
> > > - Equity is the day by day value of the equity
> > > - Equity = Cash + total(margindeposit*shares) +- total(position P&L)
> > > - Cash = Equity - total(margindeposit*shares) +- total(position P&L)
> > > - value of position - no need to define (at most the initial
> > > margindeposit*shares is required to keep the position)
> > >
> > > ---
> > > Mike
> > >
> > > Let me give you an extreme example:
> > > Please assume that you enter some positions at a bar and you have $50
> > cash
> > > left. All the positions are profitable and you have total(position P&L)
> > of
> > > $50,000. Your "buyingPower" variable increases to $50,050. Backtester's
> > > buying power stays as $50. It cannot open a position as long as it
> > doesn't
> > > have cash.
> > >
> > > I wonder your additional comments.
> > >
> > > Thank you.
> > > Ilhan Ketrez
> > >
> > > 2010/3/3 Mike sfclimbers@
> >
> > >
> > > >
> > > >
> > > > It's been a while since I looked at this, so do your own testing. But,
> > try
> > > > something like this:
> > > >
> > > > gain = bo.Equity - bo.Cash + bo.MarginLoan; // Unrealized gain from
> > > > holdings
> > > >
> > > > buyingPower = (bo.Cash + gain) * 2; // Half equity : half margin.
> > > >
> > > > Mike
> > > >
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx <amibroker%40yahoogroups.com>, Ilhan
> > > > Ketrez ketrezilhan@ wrote:
> > > > >
> > > > > Hello
> > > > >
> > > > > Thank you for participating.
> > > > > As you mention and as I understand, considering bo is the backtester
> > > > object;
> > > > >
> > > > > In Amibroker:
> > > > > - bo.Equity is the bar by bar value of the equity
> > > > > - bo.Equity = bo.Cash + total value of positions //see below for
> > > > definition
> > > > > - bo.Cash = bo.Equity - total(margindeposit*shares)
> > > > > - Value of position = margindeposit*shares +- position P&L
> > > > >
> > > > > In real life:
> > > > > - Equity is the day by day value of the equity
> > > > > - Equity = Cash + total(margindeposit*shares) +- total(position P&L)
> > > > > - Cash = Equity - total(margindeposit*shares) +- total(position P&L)
> > > > > - value of position - no need to define (at most the initial
> > > > > margindeposit*shares is required to keep the position)
> > > > >
> > > > > Amibroker states that due to the ambiguity & variance in initial
> > margin
> > > > > deposits and maintenance margin deposits,
> > > > > they prefer to include it in the position value variable. However
> > this
> > > > > solution prevents coding margin calls and
> > > > > hence also prevent playing at the limits in terms of position sizing
> > such
> > > > as
> > > > > opening positions by using
> > > > > profits of open positions.
> > > > >
> > > > > I wonder your additional comments on the subject.
> > > > >
> > > > > Sincerely,
> > > > > Ilhan
> > > > >
> > > > >
> > > > >
> > > > >
> > > > >
> > > > >
> > > > > 2010/2/25 tf28373 tomfid@
> > > >
> > > > >
> > > > > >
> > > > > >
> > > > > > 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 <amibroker%40yahoogroups.com
> > ><amibroker%
> >
> > > > 40yahoogroups.com>, Ilhan
> > > >
> > > > > > Ketrez <ketrezilhan@> 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@>
> > > > > >
> > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > > > 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@>
> > > > > > > > *To:* amibroker@xxxxxxxxxxxxxxx <amibroker%40yahoogroups.com
> > ><amibroker%
> >
> > > > 40yahoogroups.com>
> > > >
> > > > > >
> > > > > > > > *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@>>
> > > > > >
> > > > > > > >
> > > > > > > >>
> > > > > > > >>
> > > > > > > >> 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.
> > > > > > > >>
> > > > > > > >>
> > > > > > > >>
> > > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > >
> > > > > >
> > > > > >
> > > > > >
> > > > >
> > > >
> > > >
> > > >
> > >
> >
> >
>
------------------------------------
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