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You should simply include LIMIT order in actual trading rules:
LimitPrice = ... your limitprice
Buy = YourOriginalBuyRule AND Low <= LimitPrice;
BuyPrice = Min( Open, LimitPrice );
Then you will simply have signals for symbols that actually
get filled because BOTH your condition and price limit have been met.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "sfclimbers" <sfclimbers@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Monday, August 27, 2007 10:50 AM
Subject: [amibroker] Re: I'm having a hard time explaining this
> 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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>
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>
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>
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>
>
>
>
>
Please note that this group is for discussion between users only.
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