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Michael,
When you get 20 "go long" signals but only have cash for 8 positions,
then set the PositionScore = 0 for #9 thru #20. That way, the ones
lower than #8 will not be bought and #1 thru #8 will only be bought
if their Limit Order is satisfied.
--- In amibroker@xxxxxxxxxxxxxxx, "sfclimbers" <sfclimbers@xxx> wrote:
>
> Thanks for your reply. I will look into your suggestion, but I
don't
> think that that is the issue that I am up against. I have actual
> trade data from months of live trading. I am now trying to backtest
> the strategy used, and match the results to the actual data.
>
> My script, as written, is correctly entering and exiting with the
> correct number of shares and correct price points on all the
correct
> days for all the trades that actually took place.
>
> The problem is that if I receive 20 "go long" signals on Monday
> night, but only have enough money to afford 8 more positions, then
in
> real life I only place limit orders for the *top* 8 of the 20
> candidates, not all 20.
>
> This means that in reality, if none of the top 8 dip to my limit
> order, then I will not get any fills on Tuesday, even though I
still
> have not filled my slots, and even though some of the lesser
> candidates would have resulted in a fill had I place an order for
> them.
>
> However, the script is considering *all* 20 candidates, and fills
up
> to 8 that dip enough to trigger a limit order. In other words, the
> script assumes that there are limit orders on all candidates
instead
> of only the top 8.
>
> Using position score and position sizing is not enough, since these
> assume that the universe of candidates fitting the criteria is
always
> available for prioritizing and filling available slots. But, in
> reality, only a subset are being bid on.
>
> As an example, if I'm currently holding:
> AAA, BBB
>
> And I then get signals for (in sorted order):
> CCC, DDD, EEE, FFF, GGG, HHH, III, JJJ, KKK, LLL, ... TTT
>
> I will only place limit orders for the top 8:
> CCC, DDD, EEE, FFF, GGG, HHH, III, JJJ
>
> If none of the top 8 above reach my limit, but say 8 lesser ones do
> (that I did not bid on), then in real life I will get no fills for
> the day. However, my script is saying that I picked up the 8 lesser
> fills since I had 8 slots open and these 8 met the limit price.
>
> How can I structure my code to recognize that 20 entry setups were
> found, but only 8 of them were acted upon, none of which actually
> worked out due to not meeting the limit price?
>
> I can't seem to use the custom backtester to sweep through the
orders
> and null out the false buys that would not have taken place, since
I
> don't have access to the scores of the candidates that didn't get
> filled.
>
> Yet, similarly, I can't seem to prevent triggering the buys in the
> first place, since I don't have access to the scores of the other
> candidates at that time either.
>
> When there are fewer signals than slots to fill, everything is
> great :) But this strategy often results in more signals than there
> is money to bid with :(
>
> Thanks.
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Edward Pottasch" <empottasch@>
> wrote:
> >
> > hi,
> >
> > the way you set it up it shoudl not be possible. However, what
can
> happen is that the backtester finds exits for the next day and
> immediatelly fills them with new positions. So you need to make
sure
> that you first exit your positions and tell the backtester to enter
> only on the next bar. This is usually the problem. There are
several
> ways to achieve this. Maybe you will get a more satisfactory result
> when you set settradedelays(1,1,1,1).
> >
> > I use setttradedelays(0,0,0,0) but I make sure that the trade is
> entered 1 bar after the signal (same with the exits),
> >
> > Ed
> >
> >
> >
> >
> > ----- Original Message -----
> > From: Michael White
> > To: amibroker@xxxxxxxxxxxxxxx
> > Sent: Friday, August 24, 2007 11:37 AM
> > Subject: [amibroker] How do I backtest placing a restricted
> number of limit orders each night?
> >
> >
> > Can anyone help me model the following scenario?
> >
> > - Assume a portfolio is allowed to consist of some fixed number
> > of "slots" with equity equally divided among them (e.g. 10
slots
> at
> > 10% of equity).
> > - Check for setup criteria at close of each day.
> > - Place next day limit buy orders for as many unfilled slots as
> are
> > currently available (e.g. if already have 2 fills after day 1,
> then
> > there are only 10 - 2 = 8 slots remaining for day 2, etc.).
> > - Buy orders are prioritized by a calculated value.
> >
> > My problem is that if I receive a setup for more symbols than I
> have
> > available slots (e.g. receive 20 setups but only have 8
available
> > slots), my script will try to fill all 8 slots from the 20
> > candidates, and the portfolio manager will correctly prevent me
> from
> > having more positions than allowed (e.g. no more than 10).
> >
> > However, in reality, I will only have placed as many limit
orders
> as
> > I have available slots (e.g. 8 limit orders when 8 available
> slots,
> > not limit orders for all 20 candidates, since I only have funds
> to
> > cover placing 8 orders).
> >
> > What is happening is that my script is filling orders that I
> would
> > not have placed! I need a way to indicate that despite 20
setups,
> > only 8 limit orders were placed.
> >
> > Following is some script snippets.
> >
> > /*
> > * Assume an initial purse and brokerage fees ($0.01/share)
> > */
> > SetOption("InitialEquity", 50000);
> > SetOption("CommissionMode", 3);
> > SetOption("CommissionAmount", 0.01);
> >
> > /*
> > * Carry fixed number of positions, dividing 100% of Equity
between
> > * them (based on previous bar's closing).
> > */
> > PositionSize = -100/10; // Each position is 10% of equity
> >
> > SetOption("MaxOpenPositions", 10); // No more than 10 positions
> > SetOption("UsePrevBarEquityForPosSizing", True);
> >
> > /*
> > * We recognize the sale signal at the close of a bar and
execute
> the
> > * sale at the open of the next one, delay sale by 1 day.
> > */
> > SetTradeDelays(0, 1, 0, 0);
> >
> > /*
> > * Trigger a Buy signal when previous bar meets the setup
> > * requirements AND this bar's Low has dropped to less than a
fixed
> > * percentage below the previous bar's close. This emulates
having
> > * placed a limit order the night before after having seen the
> signal
> > * on that day's close.
> > */
> > setup = ... // Some position entry logic.
> > PositionScore = ... // Some prioritization logic.
> >
> > BuyPrice = Ref(Close, -1) * 0.95;
> > Buy = Ref(setup, -1) AND Low <= BuyPrice; // Problem here!!!
> >
> > Sell = ... // Some sell logic.
> >
> > As indicated in my earlier comments. The problem is that in
> reality I
> > will not actually have placed orders for all candidates, but
> rather
> > only for as many as there are available slots (e.g. 8).
However,
> the
> > script will attempt to fill the available slots based on all
> > candidates (e.g. 20).
> >
> > How can I restrict the Buy assignment to only apply to the top
X
> of Y
> > candidates based on priority (e.g. top 8 of 20 in example
above).
> >
> > Thanks in advance.
> >
>
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