Mark, I am doing portfolio level testing. Since I know how many positions, I have and my max total positions, all I need to do is find the top N (max pos - open pos) positions.
Cey --- In [email protected], "Mark H" <[EMAIL PROTECTED]> wrote: > > Cey: > > Are you doing portfolio level testing? If so, how do you sort the signals by position score? > By default, ScaleIn signals are by symbal name. > Do you have to sort the signal list in your code by the position size then? > > Thanks, > - Mark > > > ----- Original Message ----- > From: C Alvarez > To: [email protected] > Sent: Wednesday, August 09, 2006 3:11 PM > Subject: [amibroker] Re: Losing Trades in Custom Backtester > > > Mark, > > I missed the first but saw the second post. I had already coded up > Tomasz' suggestion. Since position score is not stored, I stored the > information in position size. This seems to work just fine. I am > still checking the code and ouput to make sure it all works fine. > > Cey > > --- In [email protected], "Mark H" <amibroker@> wrote: > > > > Cey: > > > > You may have missed my previous posts. Try: > > http://finance.groups.yahoo.com/group/amibroker/message/99788 > > http://finance.groups.yahoo.com/group/amibroker/message/99785 > > > > - Mark > > ----- Original Message ----- > > From: C Alvarez > > To: [email protected] > > Sent: Tuesday, August 08, 2006 7:16 PM > > Subject: [amibroker] Re: Losing Trades in Custom Backtester > > > > > > I guess I should read the sample more closely. > > From sample page: > > "One thing worth mentioning is the fact that since scaling-in > > signals do not store position score this example formula does > not > > support ranking of signals according to user-defined scores." > > > > I need the PosScore information, so I will see if I can solve > the > > problem another way. > > > > Cey > > > > --- In [email protected], "C Alvarez" <yahoo@> wrote: > > > > > > More information. > > > So the first trade signal has a PosScore but the subsequent > scale > > in > > > signals have PosScore empty. > > > > > > Cey > > > > > > --- In [email protected], "C Alvarez" <yahoo@> wrote: > > > > > > > > Tomasz, > > > > > > > > The sample code looks like it will let me do what I want. > The > > > > problem I am now running into is the sig.PosScore is empty. > Why > > is > > > > that? I am setting it. > > > > > > > > > > > > Thanks, > > > > Cey > > > > > > > > --- In [email protected], "Tomasz Janeczko" > <groups@> > > > > wrote: > > > > > > > > > > Hello, > > > > > > > > > > Answer is here: > http://www.amibroker.com/kb/2006/04/24/using- > > > > redundant-signals-for-entries/ > > > > > > > > > > > > > > > Best regards, > > > > > Tomasz Janeczko > > > > > amibroker.com > > > > > ----- Original Message ----- > > > > > From: C Alvarez > > > > > To: [email protected] > > > > > Sent: Monday, August 07, 2006 10:04 PM > > > > > Subject: [amibroker] Losing Trades in Custom Backtester > > > > > > > > > > > > > > > I am using the Custom Backtester to iterate through the > > Signal > > > > list. Depending on some additional conditions that I only > can > > know > > > > at this time, I might decide to skip a trade and set the > PosSize > > = > > > > 0. This prevents the trade from happening, as I want. > > > > > > > > > > The problem is that if I remove a trade from the Signal > list > > > and > > > > then the Buy array has a buy for the next day, it is not > showing > > > up > > > > the Signal list. And at this time I might want to take the > > trade. > > > > Any suggestions on how I can do this? > > > > > > > > > > Here is the simplified code. > > > > > > > > > > Thanks, > > > > > Cey > > > > > > > > > > > > > > > SetCustomBacktestProc(""); > > > > > > > > > > if( Status("action") == actionPortfolio ) > > > > > { > > > > > bo = GetBacktesterObject(); > > > > > bo.PreProcess(); // Initialize backtester > > > > > > > > > > for(bar=0; bar<BarCount; bar++) > > > > > { > > > > > > > > > > for( sig = bo.GetFirstSignal(bar); sig; sig > > = > > > > bo.GetNextSignal(bar) ) > > > > > { > > > > > if( sig.IsEntry()) > > > > > { > > > > > if (some_condition) // don't > > > > take trade > > > > > { > > > > > sig.PosSize = 0; > > > > > } > > > > > } > > > > > } > > > > > > > > > > bo.ProcessTradeSignals(bar); // Process current > > bar's > > > > signals > > > > > > > > > > } > > > > > > > > > > bo.PostProcess(); > > > > > } > > > > > > > > > > > > > > > Please note that this group is for discussion between users only. To get support from AmiBroker please send an e-mail directly to SUPPORT {at} amibroker.com For other support material please check also: http://www.amibroker.com/support.html Yahoo! Groups Links <*> To visit your group on the web, go to: http://groups.yahoo.com/group/amibroker/ <*> To unsubscribe from this group, send an email to: [EMAIL PROTECTED] <*> Your use of Yahoo! Groups is subject to: http://docs.yahoo.com/info/terms/
