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I figured an easier way with just a few simple afl lines of code. I run
two Backtests (using a 2-step Optimize) and use the first to create a
signal-composite, the second uses the signal count found in the first.
This composite gives me the number of portfolio-signals each minute of
the day. Having this it is easy to apply a CountSince( NewDay, Signal)
function to know the number of portfolio signals at all times. I can
than add this to the buy formula.
Best regards,
herman
Mark Hike wrote:
I think CBT is the only way you can count signals for a portfolio.
On Fri, Dec 25, 2009 at 1:55 PM, Anthony
Faragasso <ajf1111@xxxxxxxx> wrote:
I have not used them..but would
StaticVariableGet() work ?
-----
Original Message -----
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 -----
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 -----
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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