Re: [amibroker] Counting ALL entries. Hi Mark H. could u pls read.

Tue, 31 Oct 2006 10:28:57 -0800

Yes this is so and will remain so because there are NO exit signals in rotational mode.
Exits in rotational mode are made if symbols falls down in ranking table and therefore
it is no longer in Top-N symbols. Since there are NO exit signals, so there are no special exit prices.
Plain and simple.
 
You can, however control exit price individually in custom backtest procedure.
There are lots of examples in Knowledge Base

Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: Mark H
Sent: Tuesday, October 31, 2006 6:09 PM
Subject: Re: [amibroker] Counting ALL entries. Hi Mark H. could u pls read.

That's the nature of rotational mode, the following is from the on-line doc for EnableRotationalTrading():
Important:
The rotational trading mode uses "buy price" and "buy delay" from the Settings | Trade page as trade price and delay for both entries and exits (long and short)
 
I don't why it was designed like that, but it is what it is now. To workaround that, you can set the buy price as close so that the stop uses the close, but in the bo.EnterTrade(..) function, use the actual open price of that symbol instead of sig.Price.
 
----- Original Message -----
From: jlami11
Sent: Tuesday, October 31, 2006 3:21 AM
Subject: [amibroker] Counting ALL entries. Hi Mark H. could u pls read.

Hello, Mark H.,

below is the code you referred me to for Counting all Entry signals on
backtester, even on existing open positions.
I got it to work for my purposes, but I'm stuck.

I'm trying to Enter on the open (1 day delay), while exiting on the
close after X days.

I just can't get it to enter on open while exiting on close. I don't
know what code to write for these.

I tried setting it in trade settings page, but when I set Entry to
Open price, the Exit exit's on Open price too, even though it's set on
Close price.

I've spent ages trying to work this out, if anyone could give some
help i'd be very grateful.

---Below is coding u reffered me to... i used almost same code--

EnableRotationalTrading();
SetOption("WorstRankHeld",160); // this number needs to be big enough.
Only 2*WorstRankHeld signals will be held by CBT each bar.
SetOption("MaxOpenPositions", 100);
SetOption("InitialEquity", 30000);
SetOption("CommissionMode", 1); //% per trade
SetOption("CommissionAmount", 0.5);
SetOption("MarginRequirement", 50);
SetOption("UsePrevBarEquityForPosSizing", True);
SetOption("MinShares", 100);

SetTradeDelays( 1, 1, 1, 1 );
RoundLotSize = 5;

......

ApplyStop( stopTypeNBar, stopModeBars, 10);

Sell0 = ...; // Rename sell/buy to sell0/buy0 since you can have
sell/buy in rotational mode.
Buy0 = ...;
Sell0[0] = 1; // trick to remove leading sell signals
Sell0 = ExRem( Sell0, Buy0 );
Sell0[0] = 0;

RawScore = 100 + ......; // make sure it is greater than 2
PositionScore = 1;
for(i = 0; i < BarCount; i++)
{
if(Buy0[i]) PositionScore[i] = RawScore[i];
else if(Sell0[i]) PositionScore[i] = 2;
else PositionScore[i] = C[i]/H[i]; //semi-random
}

SetOption("UseCustomBacktestProc", True );

if( Status("action")== actionPortfolio )
{
bo = GetBacktesterObject();

bo.PreProcess(); // Initialize backtester

for(bar=0; bar < BarCount; bar++)
{
bo.HandleStops(bar-1); // if use bar not bar-1, the
n-bar exits have one extra bar delay. don't know why.
for ( sig=bo.GetFirstSignal(bar); sig; sig=bo.GetNextSignal(bar) )
{
// first handle exit signals (PosScore = 2)
if ((sig.PosScore == 2 OR sig.isExit()) AND sig.Price
!= -1 )
{
bo.ExitTrade(bar,sig.symbol,sig.Price);
}
}

// update stats after closing trades
bo.UpdateStats(bar, 1 );

for ( sig=bo.GetFirstSignal(bar); sig;
sig=bo.GetNextSignal(bar))
{
// Entry Signals (PosScore > 2)
// Only one position per symbol
if (sig.PosScore > 2 AND sig.Price != -1 AND IsNull(
bo.FindOpenPos( sig.Symbol )))
{
// long only
bo.EnterTrade(bar, sig.symbol, True, sig.Price,
sig.PosSize, sig.PosScore,sig.RoundLotSize);
}
}

bo.UpdateStats(bar,1); // MAE/MFE is updated when
timeinbar is set to 1.
bo.UpdateStats(bar,2);
}
bo.PostProcess(); // Finalize backtester
}

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