Re: [amibroker] Low level backtest for rotational mode

Fri, 28 Jul 2006 00:05:21 -0700

Hello,
 
1. Your understanding is correct.
 
2. AB keeps 2 * WorstRankHeld signals (note that WorstRankHeld is guaranteed to be greater or equal to MaxOpenPos).
 
3. There is no need to keep signals with scores LESS than 2 * WorstRankHeld as if they are not in the table it means exit anyway
so there is no need to keep any signal that has score of zero.
 
Simply, in your code you have to assume that if symbol is not in the signal array it means that it should be exited (and it does not really
matter if it is because of just low or zero score).
 
All exit signals are tracked only in REGULAR mode when such assumptions can not be made.

Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: Mark H
Sent: Friday, July 28, 2006 8:07 AM
Subject: Re: [amibroker] Low level backtest for rotational mode

Tomasz:
 
Thanks.
All signals under rotational mode have type 0, and the script has to enter and exit trades based on PosScore. Is my understanding correct?
 
Another question:
How many of these signals are kept (to save memory etc)?
Based on the document:
(2*MaxOpenPositons) for signals with PosScore > 0;
(2*MaxOpenPositons) for signals with PosScore < 0;
Unlimited for signals with PosScore == 0; (since they are exit signals)
 
However, based on my own testing, not all signals with PosScore==0 are kept. The number kept seems to be related to "WorstRankHeld".
I have to keep the "WorstRankHeld" very big to avoid missing exit signals, but that greatly slow down the backtesting (from a few minutes to more than half an hour).
I use "WorstRankHeld"==5000 for a 5000 stock portfolio.
Please advice how to make it more efficient,
 
Thanks,
 
- Mark
 
----- Original Message -----
Sent: Thursday, July 27, 2006 5:24 PM
Subject: Re: [amibroker] Low level backtest for rotational mode

Hello,
 
Yes it does and there is special type of signal : rank signal,
it has Type = 0.
 
PositionScore > 0 means long
PositionScore < 0 means short
PositionScore == 0 means exit

Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: Mark H
Sent: Thursday, July 27, 2006 10:53 PM
Subject: [amibroker] Low level backtest for rotational mode

Tomasz:
 
In the low level backtesting, does it support rotational mode? If so, what are in the signal array and what type are the signals (Entry?Exit?Long?Scale?))?
 
Thanks,
 
- Mark
 

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