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Tomasz:
Thanks a lot for your detailed explanation. I do
have some comments.
1. Non-technical reason:
The problem you described also applies to
non-rotational portfolio trading. For example, if people use close prices for
exits and open prices for entries,
they will have exactly the same type
of too optimistic results of over levarage.
2. Technical reason:
I understand your decision was made to save
computing resources (memory). However, may I suggest that price arrays for
buy/sell/short/cover are kept for those symbols with ENTRY signals? (Exits
always follow entries.) By this way the memory usage wouldn't increase a whole
lot and you have the price arrays for exits.
Just my two cents, but it would make the rotational
mode CBT much more flexible if the price arrays are available.
Thanks,
- Mark
----- Original Message -----
Sent: Wednesday, November 01, 2006 4:46
AM
Subject: Re: [amibroker] Counting ALL
entries. Hi Mark H. could u pls read.
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
}
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