Hello,
That is correct.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: Herman
To: Tomasz Janeczko
Sent: Monday, April 16, 2007 10:44 PM
Subject: Re[4]: [amibroker] Placing orders for only the highest scored tickers
Thanks TJ, but...if i am correct...
Using the Portfolio Backtester I would be setting a PosQty, say 5 stocks max,
and the BT would always trade 5 stocks using lower probabilities if needed. So
if my 5 stocks which have a higher probability would fail to fill than the BT
would trade the next five stocks down the list.
In real trading this would not happen because I would only place orders for
five stocks with the highest probability of fill and if they didn't fill I
would have no trades on that day.
This means using the PositionScore my practical results wouldn't match the
BTs.
Unless i misunderstand this the only way around this is to add a qualifier to
the signals, as Ara suggested, that prevents the system from trading stocks
below the 5th level down.
Buy = Buy AND FillProbability > 5thProbValue;
right or wrong?
herman
Monday, April 16, 2007, 1:00:45 PM, you wrote:
>
Herman,
PositionScore will do that for you. It does not matter when you get
signals.
Just put the "probability of getting a trade based on past
performance." into PosScore.
And it will honor it.
To implement limit order use
Buy = YOUR ORIGINAL BUY AND High > LimitPrice;
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: Herman
To: dingo
Sent: Monday, April 16, 2007 5:57 PM
Subject: Re[2]: [amibroker] Placing orders for only the highest scored
tickers
No, if i understand the PositionScore correctly it won't.
The PositionScore assumes all signals are available at the same time
and then simply picks the top scores. But my signals aren't all traded and
aren't known at the start of the day, they are scattered in real-time over the
entire trading day. Using the PS I would have to place all 100 order-sets and
this is what i want to get away from.
herman
Monday, April 16, 2007, 11:02:29 AM, you wrote:
>
Positionscore will do it for you.
d
------------------------------------------------------------------
From: [email protected] [mailto:[EMAIL PROTECTED] On
Behalf Of Herman
Sent: Monday, April 16, 2007 10:39 AM
To: _AmiBroker
Subject: [amibroker] Placing orders for only the highest scored
tickers
I have a portfolio system that trades n tickers from a N100
WatchList, however the trades are intraday LMT orders and I cannot know
beforehand which tickers will give me a trade.
To prevent me from having to place 100 sets of orders I want to
only place orders for the n top-scored tickers. The score would rank my tickers
on probability of getting a trade based on past performance. This may cause me
to trade a partial portfolio at times but that is OK.
Would anybody know how to go about this in a simple way, i.e
without resorting to OLE or the custom Backtester?
herman
