Re: [amibroker] Why portfolio backtester does not consider all buy signals?

Mon, 24 Apr 2006 08:44:07 -0700

hello Mark,
 
well looking at it closer it is not exactly what I was looking for and I asked TJ an add on question via the helpdesk.  I am planning to look at it in more detail tomorrow morning.  What I actually want is to couple a buy onto a sell or in general a entry signal to an exit signal. The code posted by TJ handles the entries like I want them to be handled but I need to define the exit within the backtester code itself. For instance I want to be able to exit a position by following certain rules which are linked to the entry price and bar. The simplest link is for instance to exit after 4 bars. One can not define these rules outside the "backtester interface code".
 
I believe this is more difficult and I bump into the problems I had before. So I wait a little on feedback from the helpdesk and try a little myself tomorrow morning.  If I find out how to do it I come back on it,
 
rgds, Ed
 
 
----- Original Message -----
From: Mark H
Sent: Monday, April 24, 2006 5:19 PM
Subject: Re: [amibroker] Why portfolio backtester does not consider all buy signals?

Ed:
Have you had any luck using TJ's sample code?
I plugged it in and ran a backtest. Then I got like close to $1billion loss!
The last trade was with 1e+010 shares. I thought it was a NULL value and padded my data, but still the same results.
I will look more into it and report back,
 
Thanks,
Mark H.
 
----- Original Message -----
From: emp62
Sent: Monday, April 24, 2006 8:27 AM
Subject: Re: [amibroker] Why portfolio backtester does not consider all buy signals?

thanks a lot it looks great at the first glance. So little code necessary to do it.  I am trying to build it into my current system at this moment,
 
rgds, Ed
 
 
----- Original Message -----
Sent: Monday, April 24, 2006 12:53 PM
Subject: Re: [amibroker] Why portfolio backtester does not consider all buy signals?

"Who has studied this?"
 
I have studied this and these are results of hundreds of my own tests of various systems I have done in the past.
 
But I can agree that you may have different opinions/experiences and you may want to test redunant signals.
And this is perfectly doable as I have shown using either rotational trading (for some cases) and/or
custom backtest procedure (for all remaining cases). I even wrote sample formula for you.
See this post:
 
(I have reposted this sample to the knowledge base know for your convenience):
 
Also as suggested, I may consider adding an "easy" switch in some future releases.

Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: emp62
Sent: Monday, April 24, 2006 8:11 AM
Subject: Re: [amibroker] Why portfolio backtester does not consider all buy signals?

> There are other reasons such as the fact that practice shows that delayed signals are very often very poor performer so it is better to skip trade instead of entering it too late.
> This may be true to many systems. But certainly not all of them. My most profitable system happens to do better with later signals. It buys dips and later signals are
> more likely to > bounce back. IMO, a backtest software should be neutral to trading systems (i.e. not to prefer a particular  kind of practice)
 
Who says delayed signals are poor performers.  Who has studied this?  I am certain that redundant signals can be used succesfully in portfolio type systems.  So my request is again to get a simple example of how to do this on a portfolio level. There are examples on a single symbol level but on a portfolio level is what is interesting.
 
rgds, Ed


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