I spoke with the helpdesk at belgacom and the man said they are busy
in
Belgium replacing the entire infrastructure using glas fiber. He
said that
it would take 2 years to complete the operation .... But
indeed I am now in
an area of low population so it could take longer.
To my information
the cable provider in my area is www.teledisnet.be
According to
their site in my area it is not possible to receive
internet via
cable.
I was having stability problems as well here with my current
internet.
They increased the stability by decreasing the speed even more :)
I
am now getting max speed of about 1.8 mbps (paying for 4
mbps).
Hooking up 3 computers makes it even slower. Maybe I go and rent
a
room in Amsterdam :)
rgds, Ed
--- In amibroker@xxxxxxxxxps.com,
"Ton Sieverding"
<ton.sieverding@...> wrote:
>
> BTW
Ed, I am from Amsterdam and moved about 40 years ago to Belgium.
So I know
these Belgians by now. I love the country but sometimes have
the feeling to
live in the middle of Africa. As I said, it's the line
provider Alcatel
that should have replaced these old lines and should
have added extra
centrals in order to let Skynet, Scarlet and all the
other 'High Sheed ADSL
Boys' give what they are promising us. And
frankly in the Walonie this
probably will happen long after the point
that Belgium no longer exists.
You will not have these problems when
using coax cable like Telenet has.
This is a completely different
technique. Check if there is a coax provider
in your neighborhood ...
>
> Regards, Ton.
>
> -----
Original Message -----
> From: Edward Pottasch
> To: amibroker@xxxxxxxxxps.com
> Sent: Thursday, August 30, 2007 10:44 AM
> Subject: Re:
[amibroker] Re: How do I backtest placing a
restricted number of limit
orders each night?
>
>
>
> ok Ton, probably I do
not entirely understand the problem. I just
moved to an area in Belgium
where I am at a distance of 5.6 km of the
ADSL "centrale". So my connection
is just hopeless .... Should have
checked this beforehand. This distance
causes that the speed is only
about 1/2 of what they promise. Also I just
found out that they only
offer a transfer volume of 12GB per month. Nowhere
in the
advertisement this was mentioned. In The Netherlands this
contraint
has been removed a long time ago so I didn't even bother
checking
this. So if I exceed 12 GB per month my internet speed will drop
to 64
kbps, what a joke. On top of that I have a 1 year contract ...
better
look for a dayjob again because when my orders come through the
stock
market has probably closed already.
>
> rgds, Ed
>
>
>
>
> ----- Original Message -----
>
From: Ton Sieverding
> To: amibroker@xxxxxxxxxps.com
> Sent: Thursday, August 30, 2007 10:20 AM
> Subject: Re:
[amibroker] Re: How do I backtest placing a
restricted number of limit
orders each night?
>
>
>
> Yes Skynet is a PITA.
But as you know they are not the only one
in Belgium giving email problems.
Anyway I see we have some
misunderstanding about my 'You dont know which
signal will be used by
the Backtester'. No I am not talking about Intraday
signals and am of
course using with EOD prices, the yesterday's signal. An
yes I
therefore also use the settradedelays(0,0,0,0) Backtester
setting. So
that is not my problem. The problem is that due to the
portfolio
constraint the Backtester only takes a small part of the 'based
upon
my rules' available signals. It's more or less the same as with
the
Exrem() command. Only there I know what's happening. With
the
Backtester not ...
>
> I am getting more and more the
feeling that I am trying to solve
something that by definition can't be
solved. So I will do some extra
testing to find out if there is some clou
that explains everything or
let the thing what it is. Thanks anyway for
following up ...
>
> Regards, Ton.
>
> -----
Original Message -----
> From: ed2000nl
> To: amibroker@xxxxxxxxxps.com
> Sent: Thursday, August 30, 2007 9:25 AM
> Subject: [amibroker]
Re: How do I backtest placing a
restricted number of limit orders each
night?
>
>
> again Emails not getting through, $%@&$@#
Belgacom ...
>
> I wrote:
>
> maybe I am missing
some deeper thought on portfolio type
systems and
> backtesting but
my system performs as I would expect in the
practice
> so I assume I
understand how it works.
>
> You say: "You just do not know which
signal will be used by the
> Backtester." This could be true if you
allow your EOD system
to add
> stocks using intraday signals. However
in my case I calculate my
> signal for today using yesterdays EOD data.
Then you know
exactly what
> you need to do and it makes no sense to
analyse the other signals
> because you don't use them in the practice.
>
> So to create a backtest that can exactly be performed in
the
practice
> (excluding slippage and stocks that are not allowed to
short)
I use:
>
> settradedelays(0,0,0,0);
>
> and then define my signals as:
>
> Buy =
ref(Buy,-1);
> Short = ref(Short,-1);
>
> also my
cover and sell signals are delayed by one bar but for the
> exits you
can also allow for an intraday exit at a target price.
>
> If you
like I can give you an example system that exactly
calculates
> what
you need to do the next day,
>
> rgds, Ed
>
>
> --- In amibroker@xxxxxxxxxps.com,
"Ton Sieverding"
> <ton.sieverding@> wrote:
>
>
> > That's correct. But using rotational trading will give me
a
> completely different approach. I want to Backtest trading rules
on
> portfolio level. See if these rules give me in a real world
>
environment with let's say 20 stocks in portfolio a
profitable
system
> yes or no. For me the only way to find out if
these rules are
> profitable is using the Explore function and exporting
the
result to a
> spreadsheet for further analysis. Only then you
will get all the
> signals. And in most cases the result I get is
different than
the one
> from the Backtester. Simply because of the
portfolio
constraint. The
> Backtester is only using a small part of
all created signals.
And I
> have the feeling that the occurrence of
these signals have a
random
> character. You just do not know which
signal will be used by the
> Backtester. But your right, with rotational
trading you will get a
> systematic rebalancing of the portfolio
...
> >
> > Now my problem is that I just do not know if I
am missing
something
> in the Backtester approach or that I am just
trying to do
something
> that by definition is impossible ...
>
>
> > Regards, Ton.
> >
> >
> >
----- Original Message -----
> > From: vlanschot
> > To:
amibroker@xxxxxxxxxps.com
> > Sent: Wednesday, August 29, 2007 11:35 AM
> > Subject:
[amibroker] Re: How do I backtest placing a restricted
> number of limit
orders each night?
> >
> >
> > 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@xxxxxxxxxps.com,
"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@xxxxxxxxxps.com
> > > 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@xxxxxxxxxps.com,
"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@xxxxxxxxxps.com
> > > > 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@xxxxxxxxxps.com,
"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@xxxxxxxxxps.com
> > > > > 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@xxxxxxxxxps.com
> > > > > 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.
> >
> > >
> > > >
> > >
>
>
>