Richard, If you display the code in a chart, it should plot the signals for the period backtested (e.g. 1/1/07 - 12/31/07). It is working for me. Do you have a chart open on the code? Did you run the backtest at least once over a period?
As for number of signals using N-bar stop vs. cross; That's comparing apples to oranges. I believe that if you are holding a position, there will be no further signals generated in later days until the position is liquidated (unless using backtester mode to allow multiple signals per symbol). As such, I believe that it would be false to expect the same number of signals from the two different systems. The portfolio contents would be completely different. Basically, you should substitute your own trading strategy in place of the cross provided, then see what the signals look like for your strategy (as opposed to some arbitrary strategy). Mike --- In [email protected], "richpach2" <richpa...@...> wrote: > > Hello Mike, > > Thank you for your answer. This makes it a bit clearer. I used a more > primitive method to count signals. I would set max open positions to 2 > x of the watchlist content (say 200) and set the N-Bar Stop to 1 bar. > This (I thought) should have given me a max. number of signals. > > I tested the AFL you posted with SetOption( "MaxOpenPositions", 200 ); > It worked OK, but I can not see PlotForeign line after running it in > backtester. Is there a trick to plot "~Signals" from composite array? > > Also if I set N-Bar Stop =1, I get different results. About twice as > many signals with the N-Bar stop set in comparison to "disabled" where > sell signal is given by Sell = Cross( slow, fast ); > > Regards > Richard > > > > --- In [email protected], "Mike" <sfclimbers@> wrote: > > > > Note that in the code originally posted, the signal position size > > will be set to a tiny value when there are many many signals. You > > would need to correct for that to be at least some minimum size, with > > the realization that it would imply that some signals would go > > unfilled due to lack of resources. > > > > Mike > > > > --- In [email protected], "Mike" <sfclimbers@> wrote: > > > > > > > > > Hi, > > > > > > Your question is actually a bit of a trick question, since AmiBroker > > > will cap the number of signals to be not more than 2 x the maximum > > > permitted open positions (as per your AA settings or in code). To > > get > > > around that, set the max positions to some large number (e.g. 500). > > > > > > That being said, you can count (and even chart) the number of > > signals at > > > each bar. Similarly, you can evenly divide your equity among all > > signals > > > such that all signals will be taken (up to max permitted). > > > > > > Have a look at the following (untested) code for some ideas. Run a > > > backtest against it, then look at the resulting plot to see how many > > > signals are generated at each bar. > > > > > > Mike > > > > > > > > > SetOption( "MaxOpenPositions", 2 ); > > > > > > fast = MA( Close, 5 ); > > > slow = MA( Close, 25 ); > > > > > > Buy = Cross( fast, slow ); > > > Sell = Cross( slow, fast ); > > > > > > AddToComposite( 0, "~Signals", "X", atcFlagDefaults | > > > atcFlagEnableInPortfolio ); > > > PlotForeign( "~Signals", "Signals", colorRed, styleLine ); > > > > > > SetCustomBacktestProc( "" ); > > > > > > if ( Status( "action" ) == actionPortfolio ) > > > { > > > maxPositions = GetOption( "MaxOpenPositions" ); > > > signals[0] = 0; > > > > > > bo = GetBacktesterObject(); > > > bo.PreProcess(); > > > > > > for ( bar = 0; bar < BarCount; bar++ ) > > > { > > > count = 0; > > > > > > for ( sig = bo.GetFirstSignal( bar ); sig; sig = > > > bo.GetNextSignal( bar ) ) > > > { > > > if ( sig.IsEntry() ) > > > { > > > count++; // AmiBroker tracks as many as 2 x > > > maxPositions > > > } > > > } > > > > > > signals[bar] = count; // Preserve signal count for > > charting > > > count = min( count, maxPositions ); // Do not exceed > > > maxPositions > > > > > > if ( count > 0 ) > > > { > > > size = -100 / count; // Divide evenly among candidates > > > } > > > else > > > { > > > size = -100; // Prevent divide by zero error. > > > } > > > > > > size = max( size, -5 ); // Max 5% of equity (or whatever > > makes > > > sense to you) > > > > > > for ( sig = bo.GetFirstSignal( bar ); sig; sig = > > > bo.GetNextSignal( bar ) ) > > > { > > > if ( sig.IsEntry() ) > > > { > > > sig.PosSize = size; > > > } > > > } > > > > > > bo.ProcessTradeSignals( bar ); > > > } > > > > > > bo.PostProcess(); > > > > > > AddToComposite( signals, "~Signals", "X", atcFlagDefaults | > > > atcFlagEnableInPortfolio ); > > > } > > > > > > > > > --- In [email protected], "richpach2" <richpach2@> wrote: > > > > > > > > A portfolio backtester outputs a long list of system metrics but, > > I > > > > was not able to find a metric which describes a value of cash / > > system > > > > utilization. What I mean by that is, do I have enough cash to > > take all > > > > the signals? After all most systems work on the principle that one > > > > must take ALL signals. Not some not a few but ALL. I know I can > > > > control it by positionscore, positionsize and number of open > > positions > > > > as a percentage of portfolio (cash). I want to be able to use my > > cash > > > > in most efficient way by matching a number of signals the system > > > > generates on the portfolio with number of available positions. At > > > > least, I want to know how many signals are generated for the given > > > > period in test and compare it to total number of trades taken > > during > > > > the test period. > > > > I can see that, there are visual (Green bars) on the equity > > display > > > > that show available cash but I can not see anything in the > > backtester > > > > which will measure number of signals compared a number of > > positions. > > > > Portfolio backtester interface reference guide shows that one can > > use > > > > "cash" property in FindSignal and FindOpenPositions but, I do not > > know > > > > how to construct my metric using these methods. > > > > Can someone please comment on this question or point me to the > > > > examples on how to use custom methods in backtester? > > > > > > > > Regards > > > > Richard > > > > > > > > > >
