|
TJ: thanks for the reply but it seems you did not read my
entire message in which I want to use rotational trading and exit positions
based on a Trailing stop if the general timing signal is on a
Sell.
Unless I misunderstand what you wrote, you say that
Applystop can be used with what I want to do.
I have just tried what I think you suggested but the editor
stops on the Applystop statement saying "variable stops are not supported in
rotational trading".
So, did you misread my message or am I missing something
from yours?
I have reread all help articles including the help on
EnableRotationalTrading where it says:
"Exits are generated automatically when security's
rank drops below "worst rank held". There is no real control over when
exits happen except of setting low score to force exits. You can also set the
score on any (at least one) security to value of scoreNoRotate to prevent
rotation (so already open positions are kept). But this is global and does not
give you individual control.
Please help.
Thanks,
Ken
Hello,
It does not require custom backtest.
Use normal ApplyStop for that and such line:
PositionScore = IIF( ...markettiming_is_on_buy,
YourNormalScore, scoreNoRotate );
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
Sent: Wednesday, November 01, 2006 2:53
PM
Subject: [amibroker] Rotational Trading
with Trailing Stop Exit - Example???
TJ or anyone:
Is there an example code anywhere which shows using the
custom backtester with rotational trading AND a
trailing stop exit??
IOW, rotational trading as normal if a signal is on a
buy, but if the signal goes on a sell, no further rotational trading AND use a
trailing stop to EXIT, only to BUY again at the next Buy
signal?
Where is an example that might help someone code such a
situation?
Thanks for any advice.
Ken
Hello,
There are two reasons:
1. non-technical: for sake of not producing non realistic
results AB must not allow to specify different prices
for rotation entry and exit because otherwise you would be
able to rotate enter on open without exiting previous
positions first and then exit at the end of the day which
would in reality require having twice as much funds to do
or margin account or reducing trade sizes to half the size
of buying power. So if backtester allowed that you would
get too optimistic results.
2. The technical reason is that prices
are NOT taken from settings, exit prices are taken from
SellPrice and CoverPrice arrays (even if you don't define
them - there are preset from what you have choosen in
settings)
This are per-symbol and per-quotation arrays so there are
huge amounts of them
when testing on portfolio. Now AB keeps track of individual
perquote / per symbol prices only when
SIGNALS are present. So in rotational mode there are only
ENTRY signals so buyprice array values are available
to backtester , but there are no sell signals so no
sellprice / coverprice arrays are available.
Best regards,
Tomasz
Janeczko
amibroker.com
----- Original Message -----
Sent: Tuesday, October 31, 2006 8:03
PM
Subject: Re: [amibroker] Counting ALL
entries. Hi Mark H. could u pls read.
Tomasz:
I kind of have a different opinion here. No
matter what mode you are in, rotational or regular, you still do buy and
sell, short and cover.
In the case of rotational mode, the *implicit*
exit signal is "falls down in ranking table below WorstHeld rank". It would
be nice to make all those on Setting | Trade page
applicable under this mode, unless there are
other technical reasons not to do so.
Of course you can set the prices to whatever
you want under CBT for EnterTrade and ExitTrade
(though somewhat difficult for n-bar stop etc). It would be nice
for those who don't use CBT to set the prices in the Settings.
- Mark H.
----- Original Message -----
Sent: Tuesday, October 31, 2006 1:14
PM
Subject: Re: [amibroker] Counting ALL
entries. Hi Mark H. could u pls read.
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 -----
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 -----
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
}
__._,_.___
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 NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
For other support material please check also:
http://www.amibroker.com/support.html
![]()
SPONSORED LINKS
__,_._,___
|
