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Thanks for your reply. I will defer further discussion on this to my
main thread #114449. Except to say that the CBI doesn't seem to be
enough either, since there will not be any signals for the symbols
upon which I did place a limit order, but which did not result in a
fill (due to adverse price action). The end result is that I do not
seem to have the scores of the other candidates with which to make
the comparrison and zero out the "false" fills, as expanded upon in
the above thread.
--- In amibroker@xxxxxxxxxxxxxxx, "gp_sydney" <gp.investment@xxx>
wrote:
>
> I'm not entirely sure I understand what you are trying to do, but I
> think the custom backtester interface will let you do it. In the CBI
> you can scan all available signals before the trades are made and
> change parameters for them, including setting the position size to
> zero so that they'll never be taken.
>
> Since you're trying to rank signals across multiple stocks, and
> discard some after a certain number have been selected, I'm not sure
> you'll be able to do it in normal AFL code alone as that code only
> relates to a single symbol at a time.
>
> Regards,
> GP
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "sfclimbers" <sfclimbers@> wrote:
> >
> > 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@> 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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