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I don't know if this helps. But Ed helped with the same issue about
a month ago. The workaround trick was to realize that you can "fool"
the portfolio manager by creating null trades. Trades that enter and
exit on the same bar at the same price (i use the bar open as the
price).
This has the effect of creating a limit order that doesn't get filled
but still occupies a slot. The code snippet below looks at the
previous day's bar to see if there was an entry signal. If yes, it
looks at the current bar to see if the low is less than the entry
price based on the day's before's bar. If this order triggers, that
is to say the Low is less than the limit entry, the stock is bought.
If the entry is not going to be made, ie. the low price never passes
through the entry price, then I enter both a buy and a sell at the
open price - creating a trade that results in $0.
The postprocessor will correctly allocate the trades based on
position score and current equity. There are two problems with this
method. First all trades are reported in the trade list, you get a
lot of null trades. Second is if you model comissions, each null
trade will requrie a round-trip commission. I personally never model
in commisions. I export my tradelist to Excel and remove the null
trades for further analysis to get around the first problem.
Hope this helps
RLT
----------------------------------------
Vers = 1.000;
Qty = 10;
// #Open Postions Allowed
// Sell 10 days after crossing MA
// Optimazation Variables
MATgt = Optimize("MATgt", 2, 2, 7, 1 ); // target moving average
crossover for sale
SaleDelay = Optimize("SDly", 0, 0, 5, 1);
PBCct = 2.00 ; // 2% pullback
SetOption("MaxOpenPositions", PosQty );
PositionSize = -100/PosQty; //
invest 100% of portfolio equity divided by max. position count
Setup = C > MA(C, 10 );
PriceTrigger = Ref(C, -1) * (1 - PBPct /100);
FCross = C > MA(C,MaTgt);
PositionScore = Ref(HV100, -1);
PositionCount = 0;
ScaleIn = 1;
Sell = 0;
Buy = 0;
BarnumberBuy = 0;
//
// Trading Loop
//
for (i = 2; i < BarCount; i++) {
PositionSize = -100/PosQty;
PositionCount[i] = PositionCount[i-1];
if (Fcross[i-1 - SaleDelay] AND (PositionCount[i] >
0) // <- sell any open positions
{
Sell[i] = 1;
SellPrice[i] = O[i];
PositionCount[i] = 0;
}
if (Setup[i-1] AND (PositionCount[i-1] == 1) AND
(ScaleIn == 1)) // <-Scale in if scalein enabled
{
PositionCount[i] = 2;
Buy[i] = sigScaleIn;
BuyPrice[i] = O[i];
BarNumberBuy = i;
}
else if (Setup[i-1] AND (PositionCount[i-1] == 0) AND (L[i] <=
PriceTrigger[i])) // <-Take a new position
{ // take a newposition
PositionCount[i] = 1;
Buy[i] = 1;
BuyPrice[i] = PriceTrigger[i];
BarNumberBuy = i;
}
else if (Setup[i-1] AND (L[i] > PriceTrigger[i])
AND PositionCount[i-1] == 0 ) // <- create a null position
{
Buy[i] = 1;
BuyPrice[i] = O[i];
Sell[i] = 1;
SellPrice[i] = O[i];
PositionSize = 0;
};
--- In amibroker@xxxxxxxxxxxxxxx, "vlanschot" <vlanschot@xxx> wrote:
>
> Hi Ton,
>
> Perhaps looking at the rotational trading version can help to
clarify
> things (I hope).
>
> In line with your argument, new signals have no effect UNLESS some
> condition is met which rebalances the portfolio. This is easiest
> perceived in rotational mode, since it forces the portfolio
> to "rebalance" at each bar. I hope we can agree that one has to
have
> some conviction as to the explanatory power for excess returns of
> the "factors" (or think "indicators") which are used to define the
> condition. In other words, any score on a factor (momentum,
> valuation, etc.) implies its relative expected return, i.e. a
higher
> score is preferable. If we agree on that then, based on your
> condition, unless an existing holding meets this condition (i.e.
has
> the minimum score) it is replaced by another security (assuming at
> least one meets this condition). In case of the condition being
met,
> any new signals are legitimately "superfluous" in that they are not
> better signals. Otherwise our previous agreement falls apart. The
> only way, in my view, in which new (or rather confirming) signals
are
> put into practise in the portfolio is by adding/deducting to the
> weights of existing holdings (particularly if you're judged against
a
> benchmark) which is where scalein/out comes in.
>
> Now, first, any rotational system can (often more flexibly) be
> implemented via ordinary BSSC-rules. Second, I do agree that there
> are limitations to backtesters, even AB's CBT. The main one
> is "custom cash management": the inability to allocate cash from
> individual sells (which should be completed first) to individual
> buys. An extension of this is the inability to use cash from shorts
> to enter additional longs, i.e. create 130/30 portfolios (although
TJ
> has promised to look into this functionality).
>
> May be too much OT, but hope it helps.
>
> PS
> --- In amibroker@xxxxxxxxxxxxxxx, "Ton Sieverding"
> <ton.sieverding@> wrote:
> >
> > Thanks Mike. I know all this. Please read my answers to Ed and
you
> will find the real problem I have with the Backtester and whatever
> Backtester. Because it has nothing to do with the AB Backtester.
It's
> just the portfolio constraint that every investor in the real world
> has creating mentioned problem. I just don't know how to solve
it ...
> >
> > Regards, Ton.
> >
> > ----- Original Message -----
> > From: sfclimbers
> > To: amibroker@xxxxxxxxxxxxxxx
> > Sent: Tuesday, August 28, 2007 9:19 PM
> > Subject: [amibroker] Re: How do I backtest placing a restricted
> number of limit orders each night?
> >
> >
> > Ton,
> >
> > Once your portfolio is full, yes, PositionScore will have no
> effect
> > until a slot becomes available after a Sell.
> >
> > However, a PositionScore is only good for the life of the bar
> (single
> > day when using EOD data). So if it can not be acted upon *in
that
> > bar*, then it is worthless from that point on. The markets will
> have
> > changed by the next bar and the score will no longer apply.
> >
> > Once one or more slots become open (after a Sell), then the
> *current*
> > PositionScore(s) will be considered, and the best will be used
to
> > fill the open slot(s). So no, the process is not random. The
> > *current* PositionScore is used to fill any open slots of a
> > portfolio. "Expired" PositionScore(s) are of no use.
> >
> > If you have a restriction in your strategy that prevent
entering
> > multiple positions for a single symbol (i.e. prvents "scale-
in",
> > which is the default case), then entering a position for that
> symbol
> > will be rejected, even if it has the highest PositionScore. But
> that
> > is based on your strategy, not luck.
> >
> > The next highest will be evaluated until one is found that can
be
> > traded in accordance with the rules of your strategy. The
process
> is
> > predictable.
> >
> > Hope that helps,
> >
> > Mike
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Ton Sieverding"
> > <ton.sieverding@> wrote:
> > >
> > > As far as I understand Ed and assuming EOD trading,
> PositionScore
> > is selecting the best signals coming from the same day. So when
> at
> > Day1 there are 10 different signals where only one is needed
then
> > PositionScore is selecting the 'best' signal. But what if the
> next
> > day all stocks in portfolio are filled and the system generates
> > another 10 signals? They are lost ... until the system gives a
> SELL.
> > Therefore the next BUY is based upon the next SELL. Put the 500
> > stocks of the SP500 in a WatchList, take whatever AFL rules for
> the
> > BUY and the SELL and a portfolio with say max. 10 stocks. Do a
> > Backtest and what you see is that only a small part of the
> signals
> > were used to fill the portfolio. Simply because you have this
> > portfolio constraint. If all signals would give you the same
> > Winner/Looser characteristics than there should be no problem.
> But
> > that's not true. Therefore the portfolio filling proces for me
> has a
> > random character and the result is based upon luck ... Unless I
> am
> > missing something ... And that's my question.
> > >
> > > Regards, Ton.
> > >
> > >
> > > ----- Original Message -----
> > > From: ed2000nl
> > > To: amibroker@xxxxxxxxxxxxxxx
> > > Sent: Monday, August 27, 2007 12:58 PM
> > > Subject: [amibroker] Re: How do I backtest placing a
restricted
> > number of limit orders each night?
> > >
> > >
> > > hi Ton,
> > >
> > > I'm not sure if I understand what you mean. There are often
more
> > > signals then you can use but the backtester is instructed to
> pick
> > the
> > > best signals using PositionScore. I can exactly perform my
> > backtest in
> > > the real world, excluding the shorts I am not allowed to
enter
> by
> > my
> > > broker. The signals the backtester chooses are not pure luck
but
> > > chosen using positionscore. But I guess I do not understand
> your
> > question,
> > >
> > > rgds, Ed
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "Ton Sieverding"
> > > <ton.sieverding@> wrote:
> > > >
> > > > Morning Ed,
> > > >
> > > > My problem when using the Backtester and in general a
> Backtester
> > > based upon portfolio result is the fact that in the real
world
> an
> > > investor will have a portfolio with
> > > > let's day 20 stocks. Therefore when the portfolio has been
> > filled,
> > > all other BUY signals
> > > > will be lost until you've a SELL signal. For this reason
when
> > doing
> > > a Backtest
> > > > I always do an Explore analysis of all signals. In general
> what
> > I
> > > get is something like
> > > > 200 Transactions from the Backtester and 1.000 Transactions
> > from the
> > > Explore analysis.
> > > > What makes things worse, I often get a RAR from the
backtest
> of
> > > let's say 25% with
> > > > 75% of the signals being winners. When looking to the
Explore
> > > analysis of all the
> > > > signals I only get something like 35% of winners. Therefore
> the
> > > result coming from
> > > > the Backtester must be pure luck. The backtester 'randomly'
> > chooses
> > > the signals to
> > > > fill the portfolio. I have no idea how to solve this
> problem ...
> > > >
> > > > Regards, Ton.
> > > >
> > > >
> > > >
> > > > ----- Original Message -----
> > > > From: Edward Pottasch
> > > > To: amibroker@xxxxxxxxxxxxxxx
> > > > Sent: Sunday, August 26, 2007 8:45 PM
> > > > Subject: Re: [amibroker] How do I backtest placing a
> restricted
> > > number of limit orders each night?
> > > >
> > > >
> > > >
> > > > 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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