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

Mon, 24 Apr 2006 09:28:23 -0700

TJ:
Certainly I have replaced that.
On the follow-up posts to your post on http://finance.groups.yahoo.com/group/amibroker-beta/message/2522, people also reported similar problems. I did not see a resolution there though. I will do more tests.
 
On the other hand, as I mentioned in my previous post, I was partially successful in using rotational mode to simulate my system.
In theory all systems are rotational, as long as you can use positionscore to factor in buy/sell/short/cover signals.
The major issue I have with the current rotational mode is that the scoreNoRotate control is global and not flexible.
I would suggest that two new scores be added to control individual symbols.
scoreNoRotateIn       - Not to rotate in for that symbol
scoreNoRotateOut    - Not to rotate out for that symbol
 
(I was trying to post my feature request on the feedback site, but it didn't let me log in. My working password in member area does not work there for some reason. My user name is mdhuang).
 
Thanks,
 
-Mark H.
----- Original Message -----
Sent: Monday, April 24, 2006 11:40 AM
Subject: Re: [amibroker] Why portfolio backtester does not consider all buy signals?

Hello,
 
You need to REPLACE Buy/Sell rules with your OWN (where you can see // YOUR TRADING SYSTEM HERE)

Best regards,
Tomasz Janeczko
amibroker.com
----- 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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