Hello,
No, in the example I gave you they will exit after 10 days since initial entry.
You could do separate exits using pyramiding code but you would need to write a
loop
and track which entry matches which exit and set sizes accordingly.
For this particular application, I think that custom backtester is better
suited and leads to simpler and
shorter code and actual code would look as follows:
Sell=Short=Cover=0; // real rules are defined inside custom backtest proc
Buy = IIf( Close > Open, sigScaleIn, 0 ); // entry rule
SetCustomBacktestProc(""); // enable custom backtest
if( Status("action") == actionPortfolio )
{
// actual backtest routine
// (low-level)
bo = GetBacktesterObject();
// actual backtest loop
bo.PreProcess();
for( i = 0; i < BarCount; i++ )
{
// first update backtest stats and handle stops
bo.UpdateStats( i, 0 );
bo.HandleStops( i );
_TRACE("Bar " + i );
for( sig = bo.GetFirstSignal(i); sig; sig = bo.GetNextSignal(i) )
{
if( sig.IsEntry() OR sig.IsScale() )
{
_TRACE("ENTER " + sig.Symbol );
bo.EnterTrade( i, sig.Symbol, True, sig.Price, 5000 /* $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 >= 10 )
{
// EXIT WHEN POSITION IS 10 bars old
_TRACE("EXIT " + OpenPos.Symbol );
bo.ExitTrade( i, OpenPos.Handle, OpenPos.GetPrice( i, "O" ) );
}
}
bo.UpdateStats( i, 2 );
}
bo.PostProcess();
}
_TRACEs lines are just for extra debuggin info. You may remove them to get more
speed.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: C W
To: [email protected]
Sent: Thursday, March 08, 2007 9:31 PM
Subject: Re: [amibroker] Trading and managing multiple position
Hello Tomasz,
If I used the ScaleIn/ScaleOut. Will each entry have the same exit condition?
For example:
Entry if Close > Open
Exit 10 days later
Will each entry exit 10days later or will they all the position be closed on
first exit?
If I enter a different positionsize for each entry, will it automatically
determine entry quanity and only sell correct entry quantity?
Thanks for the help.
Tomasz Janeczko <[EMAIL PROTECTED]> wrote:
Hello,
It is very easy, just use pyramiding
http://www.amibroker.com/guide/h_pyramid.html
Buy = IIF( C > O, sigScaleIn, 0 );
Sell = 0;
ApplyStop( stopTypeNBar, stopModeBars, 10 );
There is simply NO reason to treat this "separately" because
on your brokerage account you will have them all listed as one position.
But if you are determined to have them separate the sample code how to do
that is
included in the User's Guide as well as in the Release Notes document
CBT: Trade object has now "Handle" property that can be passed to ExitTrade
and ScaleTrade methods instead of symbol to allow
control over exiting/scaling multiple positions of the same symbol
CHANGES FOR VERSION 4.76.0 (as compared to 4.75.2)
CBT: Trade object has now "Handle" property that can be passed to ExitTrade
and ScaleTrade methods instead of symbol to allow
control over exiting/scaling multiple positions of the same symbol
// 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();
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "chwinc2000" <[EMAIL PROTECTED]>
To: <[email protected]>
Sent: Thursday, March 08, 2007 1:59 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.
>
>
>
>
> 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
>
> Yahoo! Groups Links
>
>
>
>
>
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