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ts,
Did you ever get an answer to this question? I believe that I've run
into the same issue as posted in #114449
http://finance.groups.yahoo.com/group/amibroker/message/114449 which
might present the case a little more clearly. I would have thought
that this would be a common request.
Thanks
--- In amibroker@xxxxxxxxxxxxxxx, "techsmart" <mric@xxx> wrote:
>
>
> Maybe someone here can help.
>
> PositionScore alone will not do what I want.
>
> The day before trade entry I scan for POTENTIAL entries. I get up
to
> 40 or 50 signals. On the next day I use a limit order a certain
> percentage below the prior day close as an entry. However, I do
not
> want to end up with too many buys, so I rank the potential entries
by
> ROC(C,40) and take the top 'x'(usually about 5 to 10) number of
> signals and enter them as limit orders. This way I can be sure to
> not overextend my equity. Of those limit orders I can have
anywhere
> from 0 to all filled.
>
> I have the system worked out in the AB backtester except that
> PositionScore and MaxPositions does not accurately simulate what
> really happens. Using these filters, will result in the system
> taking the 'x' number of entries with the highest ROC amongst all
> those that got hit. This is not reality, but based on the EOD data
> on the day of entry.
>
> What I need is to have the backtester take all the signals and then
> RANK them by ROC(C,40) and then take the top 'x' (say 5 or 10) and
> use those as the basket to trade the next day. Of those 'x' number
> of signals, anywhere from 0 to x may be entered, but this will be a
> realistic backtest...just as I trade the system.
>
> Below is an exchange with AB support. I have not made clear what I
> am trying to do, but maybe it will help explain it.
>
> In sum: I want to rank all signals by some filter factor and then
> take the top 'x' number to use as potential buys the next day,
> discarding all those that fall below a certain RANK. Hard cutoffs
> will not give me a specific number of signals. For instance, if I
> used ROC(C,40) > 20, some days I would get no signals and other
days
> I might get 30.
>
> Anyone know how this might be done?
>
> I think the 'for' loop might do, but not sure.
>
> ts
>
> ---------------------------
> Marcin,
>
> I did not make myself clear.
>
> If you have signals the day before and a group of possible entries
> that are
> entered intraday THE NEXT DAY with a limit order, using
PositionScore
> and
> MaxPositions does not simulate reality. Using that method, the
> backtester
> will take the top x number of trades based on PositionScore, but in
> reality
> you would have no idea which trades would hit their limit order
> first, so
> would not know until EOD which of the PositionScore ranked trades
you
> would
> take.
>
> SO... the point is...
>
> I need a method to rank all the potential signals on the day PRIOR
to
> entry.
> Then take x number of them (say 10) and only use those as entries
on
> the
> next day.
>
> Can I do this: Take a list of symbols that pass a filter.... say
> perhaps 40
> symbols, then rank them by some factor, such as ROC(C,40), then use
> only the
> top 10 (for example) as potential trades the next day. Of those
10,
> only
> the ones that hit a certain limit order would be bought.
>
> I need a way to rank and filter the signals from the day before and
> then
> strip off those below a certain rank. PositionScore does this
after
> the
> fact...EOD on the entry day and this is not the way the system
really
> works.
>
> Hope I am expressing myself clearly. I know it is confusing.
>
>
>
> Subject: Re: [#16654] Ranking signals for possible entry the day
> before
>
>
> > Helo,
> >
> > You can use PositionScore variable in your formula and define the
> criteria
> > you use.
> > (and combine it with the Maximum open positions limit)
> >
> > See:
> > http://www.amibroker.com/guide/h_portfolio.html
> >
> >
> > Best regards
> >
> > Marcin Gorzynski
> > Amibroker.com Technical Support
> >
> > Subject: [#16654] Ranking signals for possible entry the day
before
> >
> >
> > First let me say that Amibroker is a wonderful tool for system
> development
> > and backtesting. I've used many others and find that Amibroker
has
> all
> > the
> > capabilities I've been looking for. I've already given you a
> favorable
> > review on the Elite Trader message board and will continue to
> recommend
> > your
> > software to others. It's very capable and FAST! Thanks!
> >
> >
> > V. 4.65.2
> >
> > My question:
> >
> > My system finds potential signals on the day before entry. There
> may be
> > anywhere from 0 to 50 potential signals on any one day.
> >
> > Entries are made the NEXT day on a limit order. So, I cannot be
> sure how
> > many of those limit orders will be hit. I can simply limit the
> number of
> > orders I submit, but this does not seem to be a very good way to
> backtest
> > and does not simulate what I do in reality. In testing I have
> found that
> > filtering on certain parameters can improve results (such as
taking
> those
> > signals for stocks with the greatest 40 day ROC). I can test
this
> in the
> > backtester with the portfolio option using positionscore, but
this
> is
> > unrealistic, because there might have been 20 limit orders hit
> intraday
> > and
> > the backtester will take the 2 (or whatever MaxOpenPositions
number
> I have
> > specified) with the best ROC, something I would not have been
able
> to
> > predict intraday when limit orders are getting hit at various
> different
> > times.
> >
> > What I would like to do is this: On the day before entry (the
> signal
> > day),
> > I would like to be able to rank all the possible signals by some
> factor,
> > such as 40 day ROC. This still leaves some uncertainty about how
> many
> > actual entries you'll get, but it would prevent the backtester
from
> doing
> > something that couldn't be done in reality and would put an upper
> limit on
> > the number of trades taken.
> >
> > So...to summarize:
> >
> > Can the backtester take all the potential signals on day -1 and
> rank them
> > according to some factor (say, ROC(C,40)) and then just use a
> limited
> > subset
> > of all the signals to use as actual limit orders on the next
day.
> Hard
> > cut-offs, like ROC(C,40) > 20, don't work because that can give
you
> many
> > signals one day and none the next. What is needed is a relative
> ranking
> > or
> > scoring, so that the backtester will only take, for example, the
5
> stocks
> > with the highest ROC40, all the others being discarded.
> >
> > I think the 'for loop' may be the way to do this, but I'm not
> skilled
> > enough
> > to be able to sort it out.
> >
> > Thanks very much for your help and for a great trading tool.
> >
>
> >
> >
>
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