Has any been able to get this to work? I too have the same thing that bases a limit order on the previous day's data.
I'd like AMI to ONLY enter the trade if that price was hit. Any way to do this without using RT data? -Mike --- In [email protected], "techsmart" <[EMAIL PROTECTED]> wrote: > > > No, Bob, this is not a problem really. The systems work well. I've > been using them for two years. I would just like to be able to use > the backtester to accurately simulate the systems and be able to test > various filters. > > Basically, I get a list of symbols that are potential trades. I then > use limit orders the NEXT DAY to enter the trades. This all works > fine and I can roughly control the number of entries by only using a > subset of the possible signals. And by watching the market intraday > when I can. > > It all works just fine. > > All I'm trying to do is get the backtester to help me out a little > and give me more accurate test results by RANKING the potential > signals and trading only the top 'x' hits. > > I'm sure this can be done in AB. > > ts > > > --- In [email protected], "Bob Jagow" <[EMAIL PROTECTED]> wrote: > > Your difficulty lies in trying to trade intraday using EOD data. > > > > Bob > > -----Original Message----- > > From: techsmart [mailto:[EMAIL PROTECTED] > > Sent: Sunday, December 19, 2004 8:00 PM > > To: [email protected] > > Subject: [amibroker] Simpler example...Re: I'm having a hard time > > explaining this > > > > > > > > > > <groan> I clearly am not doing well at explaining what I want. > > > > This has nothing to do with predicting tomorrow's prices. Just the > > opposite in a way. If I use PositionScore with this system and rank > > on ROC(C,20), then.... if there were 20 signals that were entered as > > limit orders and .... 10 of those got hit and I've got MaxPositions > > set at 3, then the backtester will take 3 of those 10 entries with > > the highest ROC(C,20) and use those as the entries. > > > > Obviously, I can't know in advance which limit orders will get hit > > during the day, so can't do the same thing. > > > > HOWEVER, it should be possible to limit the number of signals by > > RANKING them EOD the day BEFORE the entry day and then taking just a > > certain number of the signals to enter as limit orders for the > > backtester. > > > > I feel sure this is something that AB can do, I'm just not well- > > versed enough with AFL and programming in general to figure it out. > > And apparently not good at explaining what it is I'm wanting to do. > > > > But, no, I have no illusions about predicting tomorrow's > prices. : ) > > > > ts > > > > > > > > --- In [email protected], "Graham" <[EMAIL PROTECTED]> wrote: > > > If anyone can come up with a system that can predict tomorrows > > prices then > > > they will make their fortune twice. First by trading it, then by > > selling it > > > :) > > > > > > All I can suggest is you keep plugging away at all the > > possibilities until > > > you find something that works > > > > > > Cheers, > > > Graham > > > http://e-wire.net.au/~eb_kavan/ > > > > > > -----Original Message----- > > > From: techsmart [mailto:[EMAIL PROTECTED] > > > Sent: Monday, December 20, 2004 11:41 AM > > > To: [email protected] > > > Subject: [amibroker] Simpler example...Re: I'm having a hard time > > explaining > > > this > > > > > > > > > > > > OK, let me make a simple example and see if it makes sense... > > > > > > Let's say I've got a basket trading system. At EOD I run a scan > to > > > get potential signals. I daily end up with 20 to 50 signals. > > > BECAUSE I am entering limit orders on these signals at 5% below > > > today's close, I can't be sure how many of the signals will get > hit. > > > > > > I don't want to have 20 or 50 trades on, but I know that certain > > > filters will improve results. I cannot predict when the limit > > orders > > > will get hit intraday, so backtesting with PositionScore does not > > > work. It will rank the trades on the entry day, based on the > score > > > at EOD THAT DAY. > > > > > > What I need is a way to rank all the signals the day before entry > > day > > > and then keep a certain number, say 5 to 10. I still don't know > > how > > > many limit orders will get hit the next day, but I DO know the > > upper > > > limit AND I also have a rank-ordered list that produces better > > > results. > > > > > > So... how can I take the signals from EOD on the day before entry > > and > > > rank them by some factor such as ROC(C,20) and keep only a certain > > > number for the backtester to use in the simulation of the next > > day's > > > trading. > > > > > > I have several basket type systems where this technique would be > > very > > > handy to be able to use in the backtester. > > > > > > Thanks for any help. > > > > > > TS > > > > > > --- In [email protected], "techsmart" <[EMAIL PROTECTED]> wrote: > > > > > > > > Maybe someone here can help. > > > > > > > > PositionScore alone will not do what I want. > > > > > > > > The day before trade entry I scan for POTENTIAL entries. I get > > up > > > to > > > > 40 or 50 signals. On the next day I use a limit order a certain > > > > percentage below the prior day close as an entry. However, I do > > > not > > > > want to end up with too many buys, so I rank the potential > > entries > > > by > > > > ROC(C,40) and take the top 'x'(usually about 5 to 10) number of > > > > signals and enter them as limit orders. This way I can be sure > > to > > > > not overextend my equity. Of those limit orders I can have > > > anywhere > > > > from 0 to all filled. > > > > > > > > I have the system worked out in the AB backtester except that > > > > PositionScore and MaxPositions does not accurately simulate what > > > > really happens. Using these filters, will result in the system > > > > taking the 'x' number of entries with the highest ROC amongst > all > > > > those that got hit. This is not reality, but based on the EOD > > data > > > > on the day of entry. > > > > > > > > What I need is to have the backtester take all the signals and > > then > > > > RANK them by ROC(C,40) and then take the top 'x' (say 5 or 10) > > and > > > > use those as the basket to trade the next day. Of those 'x' > > number > > > > of signals, anywhere from 0 to x may be entered, but this will > be > > a > > > > realistic backtest...just as I trade the system. > > > > > > > > Below is an exchange with AB support. I have not made clear > what > > I > > > > am trying to do, but maybe it will help explain it. > > > > > > > > In sum: I want to rank all signals by some filter factor and > > then > > > > take the top 'x' number to use as potential buys the next day, > > > > discarding all those that fall below a certain RANK. Hard > > cutoffs > > > > will not give me a specific number of signals. For instance, if > > I > > > > used ROC(C,40) > 20, some days I would get no signals and other > > > days > > > > I might get 30. > > > > > > > > Anyone know how this might be done? > > > > > > > > I think the 'for' loop might do, but not sure. > > > > > > > > ts > > > > > > > > --------------------------- > > > > Marcin, > > > > > > > > I did not make myself clear. > > > > > > > > If you have signals the day before and a group of possible > > entries > > > > that are > > > > entered intraday THE NEXT DAY with a limit order, using > > > PositionScore > > > > and > > > > MaxPositions does not simulate reality. Using that method, the > > > > backtester > > > > will take the top x number of trades based on PositionScore, but > > in > > > > reality > > > > you would have no idea which trades would hit their limit order > > > > first, so > > > > would not know until EOD which of the PositionScore ranked > trades > > > you > > > > would > > > > take. > > > > > > > > SO... the point is... > > > > > > > > I need a method to rank all the potential signals on the day > > PRIOR > > > to > > > > entry. > > > > Then take x number of them (say 10) and only use those as > entries > > > on > > > > the > > > > next day. > > > > > > > > Can I do this: Take a list of symbols that pass a filter.... > say > > > > perhaps 40 > > > > symbols, then rank them by some factor, such as ROC(C,40), then > > use > > > > only the > > > > top 10 (for example) as potential trades the next day. Of those > > > 10, > > > > only > > > > the ones that hit a certain limit order would be bought. > > > > > > > > I need a way to rank and filter the signals from the day before > > and > > > > then > > > > strip off those below a certain rank. PositionScore does this > > > after > > > > the > > > > fact...EOD on the entry day and this is not the way the system > > > really > > > > works. > > > > > > > > Hope I am expressing myself clearly. I know it is confusing. > > > > > > > > > > > > > > > > Subject: Re: [#16654] Ranking signals for possible entry the day > > > > before > > > > > > > > > > > > > Helo, > > > > > > > > > > You can use PositionScore variable in your formula and define > > the > > > > criteria > > > > > you use. > > > > > (and combine it with the Maximum open positions limit) > > > > > > > > > > See: > > > > > http://www.amibroker.com/guide/h_portfolio.html > > > > > > > > > > > > > > > Best regards > > > > > > > > > > Marcin Gorzynski > > > > > Amibroker.com Technical Support > > > > > > > > > > Subject: [#16654] Ranking signals for possible entry the day > > > before > > > > > > > > > > > > > > > First let me say that Amibroker is a wonderful tool for system > > > > development > > > > > and backtesting. I've used many others and find that > Amibroker > > > has > > > > all > > > > > the > > > > > capabilities I've been looking for. I've already given you a > > > > favorable > > > > > review on the Elite Trader message board and will continue to > > > > recommend > > > > > your > > > > > software to others. It's very capable and FAST! Thanks! > > > > > > > > > > > > > > > V. 4.65.2 > > > > > > > > > > My question: > > > > > > > > > > My system finds potential signals on the day before entry. > > There > > > > may be > > > > > anywhere from 0 to 50 potential signals on any one day. > > > > > > > > > > Entries are made the NEXT day on a limit order. So, I cannot > > be > > > > sure how > > > > > many of those limit orders will be hit. I can simply limit > the > > > > number of > > > > > orders I submit, but this does not seem to be a very good way > > to > > > > backtest > > > > > and does not simulate what I do in reality. In testing I have > > > > found that > > > > > filtering on certain parameters can improve results (such as > > > taking > > > > those > > > > > signals for stocks with the greatest 40 day ROC). I can test > > > this > > > > in the > > > > > backtester with the portfolio option using positionscore, but > > > this > > > > is > > > > > unrealistic, because there might have been 20 limit orders hit > > > > intraday > > > > > and > > > > > the backtester will take the 2 (or whatever MaxOpenPositions > > > number > > > > I have > > > > > specified) with the best ROC, something I would not have been > > > able > > > > to > > > > > predict intraday when limit orders are getting hit at various > > > > different > > > > > times. > > > > > > > > > > What I would like to do is this: On the day before entry (the > > > > signal > > > > > day), > > > > > I would like to be able to rank all the possible signals by > > some > > > > factor, > > > > > such as 40 day ROC. This still leaves some uncertainty about > > how > > > > many > > > > > actual entries you'll get, but it would prevent the backtester > > > from > > > > doing > > > > > something that couldn't be done in reality and would put an > > upper > > > > limit on > > > > > the number of trades taken. > > > > > > > > > > So...to summarize: > > > > > > > > > > Can the backtester take all the potential signals on day -1 > and > > > > rank them > > > > > according to some factor (say, ROC(C,40)) and then just use a > > > > limited > > > > > subset > > > > > of all the signals to use as actual limit orders on the next > > > day. > > > > Hard > > > > > cut-offs, like ROC(C,40) > 20, don't work because that can > give > > > you > > > > many > > > > > signals one day and none the next. What is needed is a > > relative > > > > ranking > > > > > or > > > > > scoring, so that the backtester will only take, for example, > > the > > > 5 > > > > stocks > > > > > with the highest ROC40, all the others being discarded. > > > > > > > > > > I think the 'for loop' may be the way to do this, but I'm not > > > > skilled > > > > > enough > > > > > to be able to sort it out. > > > > > > > > > > Thanks very much for your help and for a great trading tool. > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > Check AmiBroker web page at: > > > http://www.amibroker.com/ > > > > > > Check group FAQ at: > > > http://groups.yahoo.com/group/amibroker/files/groupfaq.html > > > Yahoo! Groups Links > > > > > > > > > > > > > > Check AmiBroker web page at: > > http://www.amibroker.com/ > > > > Check group FAQ at: > > http://groups.yahoo.com/group/amibroker/files/groupfaq.html > > Yahoo! Groups Links > Please note that this group is for discussion between users only. 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