Mark, You do not need explorations. The right way to do this is with the custom portfolio backtester. I suggest reading the documentation. Then read it again.
-Steve --- In [email protected], "mbluhm2001" <mbluhm2...@...> wrote: > > Thanks very much for the direction. > > So using your suggestion what I think is possible would be the following: > > Run Phase 1 twice. 1st with the explorer scan to give me all of the > stocks that I would use for the following day as the list of possible > trades. The Position size would be set very large. This would fool the > backtest into giving me all of the same stocks that a normal explorer > scan would give. Then use the GetSignalQty command to give the the > total number of possible stocks and put that into an array. Then run > Phase 1 again with the new Position size based on the number of > possible stocks for the day but with the entry code that would of > triggered the stock trade. > > Think this would work? > > Thanks again, > Mark > > > > --- In [email protected], "hydroblue@" <hydroblue@> wrote: > > > > Mark, > > > > The AmiBroker backtester operates in 2 major phases. In phase 1, you > > set the buy/sell/short/cover arrays for one stock at a time. Then in > > phase 2 (portfolio backtest), the arrays for all the stocks from phase > > 1 are combined into the signal list ordered by position score. You > > need to scan the signal list and set the desired position size for > > each entry signal. > > > > Your position sizing algorithm will most likely need to know the > > number of entry signals for each bar and possibly the number of > > positions already open for each bar. This can be determined in the > > custom backtester. > > > > See also: > > http://www.amibroker.com/feedback/view_bug.php?bug_id=1671 > > > > Cheers, > > Steve > > > > > > --- In [email protected], "mbluhm2001" <mbluhm2001@> wrote: > > > > > > But the way I understand the Custom Backtester is that it will process > > > each stock one at a time. What I need is to first process all of the > > > stocks for each day and keep track of how many stocks are on the list > > > for tomorrow. Then based on how many are in that list, then I can set > > > the positionsize for that day and let the backtester work. The issue > > > that I can't understand is how to get the stock list for the day (like > > > I do running the explorer each night) into the backtester to be used > > > each day with the modified positionsize. > > > > > > Hope that makes sense, > > > Mark > > > > > > > > > --- In [email protected], "hydroblue@" <hydroblue@> wrote: > > > > > > > > Yes, it is possible. You can use the custom portfolio backtester to > > > > change the position size of the entry signals. > > > > > > > > -Steve > > > > > > > > > > > > --- In [email protected], "mbluhm2001" <mbluhm2001@> wrote: > > > > > > > > > > Each day I get a various number of stocks that I want to > posssibly > > > > > trade the next day. I don't know ahead of time which stocks will > > hit > > > > > their price point. Also to lower risk I want to divide my > money up > > > > > into a number of possible slots. So I may make 10 slots and so > only > > > > > take 10 trades, each at 1/10th of my money. I'm thinking that > if I > > > > > have a lot of possible stocks for the next day then I want to > raise > > > > > the number of slots and if I have very few possible stocks then > > lower > > > > > the number of slots. This will keep my money invested as much as > > > > > possible. > > > > > > > > > > So the problem is that I don't know how to put this all in one > > > > > program. I know how to write a scan that will give me the stocks > > for > > > > > tomorrow and I know how to back test based on a fixed number of > > > > > slots. But I want to be able to combine the two and know for the > > next > > > > > day, in the backtesting program, how many possible stocks so I > can > > > > > increase the number of slots. > > > > > > > > > > Is this possible with Amibroker backtester and if so can someone > > > > > point me in the right direction. > > > > > > > > > > Thanks, > > > > > Mark > > > > > > > > > > > > > > >
