You have a starting equity, position size per trade and a group of symbols that give trade signals
Assuming no pyramid trades
Backtest enters new trades if that stock does not already have an open trade. So it takes the first signal after the backtest start date, and ignores other entry signals (for same trade direction) until an exit occurs. It then looks for a new entry signal for that stock after the exit date.
In portfolio mode, you enter as many trades over the group of stocks that are allowable as determined by your available equity (cash) and the defined limiting the number of open positions
If you get more entry signals than available positions (either by available cash or position limits) on a single bar, then the backtester determines which trade to enter based on your defined positionscore. If you have insufficient available cash or have reached the max positions limit then no trade enties are made until an exit from an existing trade within the group of symbols is made.
--
Cheers
Graham
AB-Write >< Professional AFL Writing Service
Yes, I write AFL code to your requirements
http://www.aflwriting.com
Graham,
Just to make my concern clearer. If we have a system and we want it to trade. Wouldn't it be trading every signal in the chart?
Does anyone know/can briefly explain how the backtester selects the tradable signals?
Thanks again,
Jerry
From: [email protected] [mailto:[email protected]] On Behalf Of Graham
Sent: Thursday, October 12, 2006 20:25
To: [email protected]
Subject: Re: [amibroker] Re: ExRem and Short/Cover
Signals are just signals, that have a bar complying with your conditions. You will get results of these in a scan and on the chart, but a backtest will ignore them.
One way to remove surplus signals is to use the equity function, just add this before your plot statements, and after the trade conditions.
Equity(1,0);
--
Cheers
Graham
AB-Write >< Professional AFL Writing Service
Yes, I write AFL code to your requirements
http://www.aflwriting.com
On 13/10/06, Charles J. Dudek <[EMAIL PROTECTED]> wrote:
Terry, thanks for the reply. In my code I'm using:
Sell=ExRem(Sell,Buy);
Buy=ExRem(Buy,Sell);
Cover=ExRem(Cover,Short);
Short=ExRem(Short,Cover);
The problem I'm having is generating a series of signals like sell,
short, sell, short, without a previous buy or cover signal and I don't
understand how that could happen. I've tried different combinations
like exrem(Buy,sell+cover), for example, and I'm still getting signals
that don't make sense. Any idea how to fix that or are there any
programs that include different short/cover signals that I could copy?
Chuck
--- In [email protected] , "Terry" <[EMAIL PROTECTED]> wrote:
>
> It doesn't matter if Sell = Short, or not. All the function does is
> remove redundant signals AFTER Buy/Sell/Short/Cover has been processed.
> This way you can PlotShapes using Buy/Sell/Short/Cover and you will only
> see the signals you would take.
>
> Buy = ExRem(Buy,Sell); //Removes redundant Buy signals
> Sell = ExRem(Sell,Buy); //Removes redundant Sell signals.
> Do the same for Short,Cover
> --
> Terry
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