Re: [amibroker] Trading and managing multiple position

[Edward Pottasch]

there is this code

// This is sample formula that allows 
// to open multiple, separate positions on the same symbol 
// without averaging effect (i.e. each position on the same 
// symbol is completely independent). 
// 
// Sample code is provided for trading one symbol 
// Enter symbol you want to trade below 
Symbol = "MSFT"; 

Buy=Sell=Short=Cover=0; // real rules are defined inside custom backtest proc 

SetCustomBacktestProc(""); // enable custom backtest 

if( Status("action") == actionPortfolio ) 
{ 
   // actual backtest routine 
   // (low-level) 

   bo = GetBacktesterObject(); 

   SetForeign( Symbol ); 
   // make sure to calculate actual buy and buyprice arrays for symbol we need 
to backtest 
   Buy = 1; // For testing purposes just enter new position every bar 
   BuyPrice = Open; 
   RestorePriceArrays(); 

   // actual backtest loop 
   bo.PreProcess(); 

   for( i = 1; i < BarCount; i++ ) 
   { 
      // first update backtest stats and handle stops 
       bo.UpdateStats( i, 0 ); 
       bo.HandleStops( i ); 
       
       bo.RawTextOutput("Bar " + i ); 
      if( Buy[ i - 1 ] ) // if buy signal in previous bar 
       { 
         bo.EnterTrade( i, Symbol, True, BuyPrice[ i ], 500 /* $5000 into one 
trade */); 
       } 

    
      for( OpenPos = bo.GetFirstOpenPos(); OpenPos; OpenPos = 
bo.GetNextOpenPos() ) 
       { 
           // exit positions if their age is > 5 bars and they are profitable 
         if( OpenPos.BarsInTrade > 5 AND OpenPos.GetProfit() > 0 ) 
          { 
            // HERE IS A NEW PART !!! 
            // WE ARE PASSING HANDLE instead of ticker symbol 
            // THIS ENSURES PROPER OPERATION even if we have multiple positions 
of the same 
            // stock 
             bo.ExitTrade( i, OpenPos.Handle, OpenPos.GetPrice( i, "O" ) ); 
           } 
       } 

       bo.RawTextOutput("Number of open positions: " + bo.GetOpenPosQty() ); 


       bo.UpdateStats( i, 2 ); 
   } 
       
   bo.PostProcess(); 
}


see: http://www.amibroker.com/devlog/wp-content/uploads/2006/03/ReadMe4781.html


This is the area I hope Amibroker will improve. Although it is said lots is 
possible in Amibroker and one can perform complex portfolio backtests it seems 
to me it is impossible to find out what is exactly possible and what is not. 
And if something is possible how to do it.  The main reason I believe Amibroker 
is not portfolio trading oriented is because Amibroker is built for speed and 
is very usefull for single symbols systems. But complex portfolio systems is 
where I feel the small trader can have an edge ... 

rgds, Ed 




  ----- Original Message ----- 
  From: chwinc2000 
  To: amibroker@yahoogroups.com 
  Sent: Thursday, March 08, 2007 2:00 AM
  Subject: [amibroker] Trading and managing multiple position


  Hello,

  Does anyone know how to enter and manage multiple positions on the 
  same symbol?

  For example:
  Buy when C>O
  Sell 10 days longer.

  Obviously I can have up to 9 Long positions at once. I would like each 
  trade to show up separately on the Backtest report so I can't use 
  Scale In/ Scale Out.

  Does anyone know how to do this?

  Thanks for the help.