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Re: [amibroker] A Portfolio Backtester challenge


  • Date: Fri, 25 Dec 2009 13:55:27 -0500
  • From: "Anthony Faragasso" <ajf1111@xxxxxxxx>
  • Subject: Re: [amibroker] A Portfolio Backtester challenge

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I have not used them..but would StaticVariableGet() work ?
----- Original Message -----
From: Herman
Sent: Friday, December 25, 2009 1:40 PM
Subject: Re: [amibroker] A Portfolio Backtester challenge

 

afaik, not in a backtester. In real trading there is no problem, the problem is to make the system backtestable...

herman

Anthony Faragasso wrote:

can you nest multiple Foreign calls ?
 
 
----- Original Message -----
From: Herman
Sent: Friday, December 25, 2009 12:38 PM
Subject: Re: [amibroker] A Portfolio Backtester challenge

 

yes, but how do I define the 'signals' variable? Signals come from different stocks. I don't know how to 'know' how many signals there are in my Watchlist at any time. Am i missing something obvious/

thanks,
herman



Anthony Faragasso wrote:

buy=signals >=5 and Hold( until time ==9:35);
----- Original Message -----
From: Herman
Sent: Friday, December 25, 2009 12:10 PM
Subject: [amibroker] A Portfolio Backtester challenge

 

My portfolio trading system (1-min data) generates multiple signals
during the first few minutes of the day, i.e., between 9:30-9:35. I want
to open new positions all at the same time, at 9:35 AM, i.e., delay all
entries until 9:35AM, so that I can use Real-Time Position Scoring. And,
this is the challenge, I do not want to trade any days with less than 5
signals.

How do I make the Portfolio Backtester only trade days with at least 5
signals and skip days which have less than 5 signals during the first 5
minutes?

I am looking for a simple, non-CBT, solution. TIA for any ideas you may
have!

herman



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