Ha ha. Just goes to show how people can get tunnel vision sometimes. Since I do a lot of custom backtester code, I immediately suggested filtering at that level.
But, your suggestion of a random value for PositionScore directly would be far easier and less prone to coding error. Mike --- In [email protected], "Edward Pottasch" <empotta...@...> wrote: > > you are right on this Mike. Testing a system like this using a random positionscore is a good indication if it can be made into a system that can be used in the practice. Andy has an idea that is tough to execute but not impossible in my opinion, > > regards, Ed > > > > > > ----- Original Message ----- > From: Mike > To: [email protected] > Sent: Thursday, January 29, 2009 8:37 PM > Subject: [amibroker] Re: Sell and Buy on different days > > > Andy, > > Use caution when backtesting EOD strategies where there are more > signals than there are funds or positions to be filled; > > If your strategy is to buy OCA, what logic are you putting in place to > determine which symbol to buy when multiple symbols hit your limit > order on the same bar? > > Since you are using EOD data, you have no idea which symbol would have > hit the limit order first. You only know that x of y symbols hit the > limit order on that day. > > AmiBroker will just select the first in the list (alphabetically? ). As > such, your backtest results will be heavily biased in favor of that > ordering and will not reflect live trading results. > > Generally, PositionScore can be used to influence ordering. But, an > OCA approach by definition does not follow PositionScore. > > So, you might want to modify your custom backtester code to randomly > select from the available signals and set the remaining ones to > PosSize 0 in order to override the default prioritization. Then run > your backtest many times and take the average of the results as a best > guess estimate (i.e. Monte Carlo Permutations) > > Mike > > --- In [email protected], Andrew Senft <senft@> wrote: > > > > Hey Ed, > > > > Thank you so much for the code on the Amibroker Yahoo group board! > It > > seems to be working from what I've seen so far. I'm doing an > > optimization on that particular code (your first code) right now. > > > > The second code (the one from your email) didn't work. That is, > there > > were sales of one stock and buy of another stock on the same day. > Not > > sure what your code was doing but it gave a lot bigger profits using > the > > backtester. Could you comment on this please? > > > > Mind you that this is my first attempt to writing code for any stock > > type software. I'm still using the 30 day free trial of the > Amibroker > > software but I think that I'm getting closer as I'm chugging along. > > > > My agenda is to use this on a basket of ETF's. Perhaps 10 to 20 > or > > so. Not sure how many I need since the 30 day trail backtests up > to a > > basket of 5 stocks. My idea is to place the possible stock trades > > using the whole basket of ETF stocks at night for the next trading > > session. I have an IB account so I figure I could use an OCA limit > > order. Basically whenever a trade gets hit first (meets the limit > price > > level), it trades. The other possible trades all get canceled right > > away. So one trade actually goes through for the day. > > > > BTW, I like ETF's because the drawdowns are not as scary.... okay, > > usually not as scary. Ha! I've been backtesting with: > > > > QQQQ, DIA, SPY, MDY, IWM > > > > Thank you again! > > > > Andy > > > > Edward Pottasch wrote: > > > > > > Andy, > > > > > > I have sent an alternative solution to your private Email. Let me > know > > > if you received it. > > > > > > Ed > > > > > > > > > > > > ----- Original Message ----- > > > *From:* Andy <mailto:senft@> > > > *To:* [email protected] > <mailto:[email protected]> > > > *Sent:* Thursday, January 29, 2009 12:40 PM > > > *Subject:* [amibroker] Re: Sell and Buy on different days > > > > > > This is got to be a very simple task but unfortunately > AmiBroker told > > > me that I would have to write Backtester Interface code for > this. I'm > > > sure this has been done a million times. Anyone have sample > code? > > > I'm using EOD data to trade one stock at a time from a basket > of > > > stocks. The problem is that a selling of a stock can occur on > the > > > same day as a buy of *another* stock. Of course the problem is > that > > > the sell trade can occur after the buy trade. > > > > > > --- In [email protected] > > > <mailto:amibroker%40yahoogroups.com>, "Andy" <senft@> wrote: > > > > > > > > How do I fix the below code so it doesn't buy a different > stock on a > > > > sell day? > > > > > > > > -------------------------------------------------------- > > > > // Backtester Options > > > > SetOption("MaxOpenPositions", 1 ); > > > > SetOption("AllowSameBarExit", False); > > > > > > > > // Optimization numbers > > > > BuyPeriod = Optimize("BuyPeriod",16,10,20,2); > > > > BuyFactor = Optimize("BuyFactor",1.2,0.5,1.5,.1); > > > > SellPeriod = Optimize("SellPeriod",20,10,20,2); > > > > SellFactor = Optimize("SellFactor",0.8,0.5,1.5,.1); > > > > > > > > // ATR formulas > > > > TodaysBuyTarget = High - BuyFactor * ATR(BuyPeriod); > > > > YesterdaysBuyTarget = Ref(High,-1) - BuyFactor * > > > Ref(ATR(BuyPeriod),-1); > > > > YesterdaysSellTarget = Ref(Low,-1) + SellFactor * > > > Ref(ATR(SellPeriod),-1); > > > > > > > > // Buy/Sell signals and prices > > > > Buy = YesterdaysBuyTarget > Low; > > > > BuyPrice = IIf(YesterdaysBuyTarget > Open, Open, > > > YesterdaysBuyTarget); > > > > Sell = YesterdaysSellTarget < High; > > > > SellPrice = IIf(YesterdaysSellTarget < Open, Open, > > > YesterdaysSellTarget); > > > > Buy = ExRem(Buy,Sell); > > > > Sell = ExRem(Sell,Buy); > > > > > > > > > > > > > ---------------------------------------------------------- > ------ > > > > > > > > > No virus found in this incoming message. > > > Checked by AVG - http://www.avg.com > > > Version: 8.0.176 / Virus Database: 270.10.15/1921 - Release Date: > 1/28/2009 6:37 AM > > > > > > > > >
