Bruce, I had a moment to glance over your code.
I think this is EXACTLY what I need: setting # of shares to be traded in signal list BEFORE an actual trade occurs. The rounding I need me be differing. I´ll modify your code to my needs and then will let you know you things are going. If this works as nicely as it looks, then let me tell you that you saved me from a lot of headache I had for weeks. Thanks loads, man! Markus ---- Original Message ----- From: bruce1r To: [email protected] Sent: Thursday, July 16, 2009 3:46 PM Subject: [amibroker] Re: Using CBI the first time Markus - OK, here's an example of what I think that you were after. It is a non-practical demo, but should show some points about encoding of signal types. In your case, it shows calculating number of shares directly from % of cash and putting it in the signal object for the backtester to process. See the comments for details and the AA results for the effect. BTW, I hope you'll find some other nuggets in this example also, and find it useful as a framework for exploring some aspects of the CBT. Some aspects of the CBT just need to be "played" with to see what is possible. This will teach me to get involved. :-) -- BruceR // Simple example to do the following - // 1. Buy on the first trading day of the month and sell 5 days later // 2. Setup default to buy $5000 // 3. Then, in the CBT, modify the trades on even months to buy s // shares equal to 20% of cash. // // NOTE - the encodings for PosSize as detailed in the SetPositionSize() help are - // values below -2000 encode share count, // values between -2000 AND -1000 encode % of current position (scaling) // values between -1000 AND 0 encode % of portfolio Equity // values above 0 encode dollar value Buy = IIf( Month( ) != Ref( Month( ), -1 ), 1, 0 ); Sell = Ref( Buy, -5 ); Short = Cover = 0; SetPositionSize( 5000, spsValue ); SetOption( "InitialEquity", 100000 ); RoundLotSize = 1; // MID-LEVEL CBT MODEL SetOption( "UseCustomBacktestProc", True ); if ( Status( "action" ) == actionPortfolio ) { bo = GetBacktesterObject( ); bo.PreProcess( ); mon = Month( ); dt = DateTime( ); for ( bar = 0; bar < BarCount; bar++ ) { for( sig = bo.GetFirstSignal( bar ); sig; sig = bo.GetNextSignal( bar ) ) { // On even months, arbitrarily buy shares = 20% of cash // On odd months, $5000 will be used from SetPositionSize above if ( sig.IsEntry ) { if ( Mon[ bar ] % 2 == 0 AND sig.IsEntry ) { // Note - int() function effectively rounds down shares = int( bo.cash * 0.20 / sig.Price ); sig.PosSize = -2000 - shares; } _TRACE( NumToStr( dt[ bar ], formatDateTime ) + " , Cash = " + bo.Cash + " , Price = " + sig.Price + " , PositionSize = " + sig.possize ); } } bo.ProcessTradeSignals( bar ); } bo.PostProcess( ); } --- In [email protected], "bruce1r" <bru...@...> wrote: > > Markus - > > I don't think that you, and maybe Mike, are seeing what I'm trying to point out. I referred you to SetPositionSize() help because it details the encoding of shares in PosSize in the signal object in the CBT. Specically that is (-2000-shares). > > When you traverse the signal objects in the CBT, you can do your own calculation of shares from cash or whatever, and replace the sig.PosSize value before calling the mid or low level routines to process trades. > > Stated simply, you can set the number of shares yourself directly in the CBT from your own calculation. > > If that is what you're after, give me a short time and I'll whip up an example if you don't see this. > > -- Bruce > > > --- In [email protected], Markus Witzler funnybiz@ wrote: > > > > Hello Bruce, > > > > the reason I must use CBT is that I can´t use Setpositionsize (...spsshares), since I need to compute adequate number of shares by referring to actual cash position. > > > > "spsShares" doesn´t allow - according to cust. support- for calling current cash or equity position to compute "spsshares". Thus the need for using CBT. > > > > Normally, everyone seems to compute sig.possize (and implied number of shares is a result thereof). I want to compute shares and the position size (in money terms) should be the implied result - thus the other way around. > > > > The reason for this is that i want to follow along a coding excercise I was given. And I´m not sure that -if I only specify sig.possize and not sharesize (i.e. trade.shares)- that AB may screw up (i.e. round up or down in some cases) when I don´t realize that. > > > > Take for instance into account that AB ALWAYS rounds DOWN if fraction of shares occur. > > > > I, myself, want to have control if rounding occurs or not and HOw it occurs (up or down). That could sometimes mean I´m rounding up when AB would round down. > > > > This is not because I´m particularly picky since this issue influences the outcome of the backtest only slightly. It´s only that I want to accurately reproduce the results of the excercise I was given. > > > > In actual trading, there shouldn´t be any problem determining sig.possize in signal list and leave it up to AB to (maybe) rounding up or down potential fractional shares. > > > > If you have any clue that might help, please fell free to step in. > > > > Thanks for your contribution > > > > Markus > > ________________________________________________________________ > > Neu: WEB.DE Doppel-FLAT mit Internet-Flatrate + Telefon-Flatrate > > für nur 19,99 Euro/mtl.!* http://produkte.web.de/go/02/ > > >
