You say that they match. That does not mean anything to me. I have not seen your system and your backtest options. I don't know how to solve your problem. You need to take a small sample and see why they don't match. If you are not using CBT then various backtest options impacts the results.
From: [email protected] [mailto:[email protected]] On Behalf Of woodshedder_blogspot Sent: Wednesday, September 30, 2009 3:55 PM To: [email protected] Subject: [amibroker] Re: Help Limiting number of positions added per day TA, I understand the difference between Regular, Raw, and Raw2. I probably didn't state the issue very clearly the second time around, but the issue is that in setbacktestmode Regular mode, if the maxpositions option is set to 10 and the max buys per day is set to 10, then theoretically, the results should match. But they don't. --- In [email protected] <mailto:amibroker%40yahoogroups.com> , "ta" <tagro...@...> wrote: > > Well, study the difference between "RegularRaw" & "RegularRaw2". "The common > thing between Raw and Raw2 modes is that they both do NOT remove excess > ENTRY signals. > > The difference is that Raw modes remove excess EXIT signals, while Raw2 do > NOT." Also there was a discussion about "phantom positions" a couple of > years ago. > > > > > > From: [email protected] <mailto:amibroker%40yahoogroups.com> [mailto:[email protected] <mailto:amibroker%40yahoogroups.com> ] On Behalf > Of woodshedder_blogspot > Sent: Wednesday, September 30, 2009 4:05 AM > To: [email protected] <mailto:amibroker%40yahoogroups.com> > Subject: [amibroker] Re: Help Limiting number of positions added per day > > > > > > TA, no doubt it works in RegularRaw2. I completely agree. I'm just confused > now as to what is happening when I change the mode to Regular. > Thanks! > > --- In [email protected] <mailto:amibroker%40yahoogroups.com> <mailto:amibroker%40yahoogroups.com> , "ta" > <tagroups@> wrote: > > > > Not seeing your setting it is difficult to see why your results don't > match. > > I know the code that I gave you works. I have tested it extensively. TA > > > > > > > > From: [email protected] <mailto:amibroker%40yahoogroups.com> <mailto:amibroker%40yahoogroups.com> > [mailto:[email protected] <mailto:amibroker%40yahoogroups.com> <mailto:amibroker%40yahoogroups.com> ] On > Behalf > > Of woodshedder_blogspot > > Sent: Tuesday, September 29, 2009 7:28 PM > > To: [email protected] <mailto:amibroker%40yahoogroups.com> <mailto:amibroker%40yahoogroups.com> > > Subject: [amibroker] Re: Help Limiting number of positions added per day > > > > > > > > > > > > TA Quant, and anyone else, I figured out why the code was taking so long > to > > run. It is because the setbacktestmode was set to RegularRaw2. When I set > it > > to RegularRaw, it runs as normal, and removes redundant signals (which I > > want). > > > > However, if I set the code to allow 10 max buys a day, the results do not > > match results generated without the custom backtester code, when I just > use > > a max of 10 positions. It seems that it should be the same as 10 max buys > a > > day should be the same as allowing a maximum of 10 positions but not > > limiting the number of new positions allowed at one time. > > > > I've included the code below, as suggested by TA. Thanks for any help with > > this! > > > > MaxBuys = 5; > > SetBacktestMode( backtestRegular ); > > SetCustomBacktestProc(""); > > if ( Status( "action" ) == actionPortfolio ) > > { > > bo = GetBacktesterObject(); > > bo.PreProcess(); > > for ( i = 0; i < BarCount; i++ ) > > { > > CntBuys = 0; > > for ( sig = bo.GetFirstSignal( i ); sig; sig = bo.GetNextSignal( i ) ) > > { > > if ( sig.IsEntry() ) > > { > > // this handles limiting of number of order per day > > CanEnter = False; > > if ( CntBuys <= MaxBuys ) > > { > > bo.EnterTrade( i, sig.Symbol, True, sig.Price, sig.PosSize, sig.PosScore, > > RoundLotSize = 10); > > CanEnter = True; > > CntBuys++; > > } > > if ( ! CanEnter ) sig.Price = -1; > > } > > } > > bo.ProcessTradeSignals( i ); > > } > > bo.PostProcess(); > > } > > > > --- In [email protected] <mailto:amibroker%40yahoogroups.com> <mailto:amibroker%40yahoogroups.com> > <mailto:amibroker%40yahoogroups.com> , > > "woodshedder_blogspot" <woodshedder_blogspot@> wrote: > > > > > > Yes, you're right, it eventually finishes the report. I'm looking back > > about 3 years right now, which is 670 trades, and it has taken it over 5 > > minutes, but it finishes. > > > > > > This is exactly what I've been looking for, so again,I really appreciate > > the help. > > > --- In [email protected] <mailto:amibroker%40yahoogroups.com> <mailto:amibroker%40yahoogroups.com> > <mailto:amibroker%40yahoogroups.com> , > > "ta" <tagroups@> wrote: > > > > > > > > I think it has to do with number traders/signals that your system > > generate. > > > > I have tested it over ten years with a system that generates about > 2000 > > > > trades. It takes about 3 minutes. I don't think that AA is > unresponsive. > > I > > > > think it is processing the signals. Let go I am sure it will finish. > > > > > > > > > > > > > > > > From: [email protected] <mailto:amibroker%40yahoogroups.com> <mailto:amibroker%40yahoogroups.com> > <mailto:amibroker%40yahoogroups.com> > > [mailto:[email protected] <mailto:amibroker%40yahoogroups.com> <mailto:amibroker%40yahoogroups.com> > <mailto:amibroker%40yahoogroups.com> ] On > > Behalf > > > > Of woodshedder_blogspot > > > > Sent: Sunday, September 27, 2009 9:52 PM > > > > To: [email protected] <mailto:amibroker%40yahoogroups.com> <mailto:amibroker%40yahoogroups.com> > <mailto:amibroker%40yahoogroups.com> > > > > Subject: [amibroker] Re: Help Limiting number of positions added per > day > > > > > > > > > > > > > > > > > > > > > > > > Yes, that code is working. Thanks TA! > > > > > > > > Is it normal though for it cause the AA window to go non-responsive > when > > > > backtesting a range of more than 1 year? > > > > > > > > I can test over 9 months and it works-with about a minute delay > between > > the > > > > backtest finishing and the report being generated. > > > > > > > > If I test over much more than 9 months, it never generates the report- > > > > instead it just seems to keep processing something. > > > > > > > > Thanks! > > > > > > > > --- In [email protected] <mailto:amibroker%40yahoogroups.com> <mailto:amibroker%40yahoogroups.com> > <mailto:amibroker%40yahoogroups.com> > > <mailto:amibroker%40yahoogroups.com> , "ta" > > > > <tagroups@> wrote: > > > > > > > > > > Since you have not posted your code I can not debug it for you but > the > > > > > following code works for me: > > > > > > > > > > > > > > > > > > > > MaxBuys = 5; > > > > > SetBacktestMode( backtestRegularRaw2 ); > > > > > SetCustomBacktestProc(""); > > > > > if ( Status( "action" ) == actionPortfolio ) > > > > > { > > > > > bo = GetBacktesterObject(); > > > > > bo.PreProcess(); > > > > > for ( i = 0; i < BarCount; i++ ) > > > > > { > > > > > cntBuys = 0; > > > > > for ( sig = bo.GetFirstSignal( i ); sig; sig = bo.GetNextSignal( i ) > ) > > > > > > > > > > { > > > > > if ( sig.IsEntry() ) > > > > > { > > > > > // this handles limiting of number of order per day > > > > > CanEnter = False; > > > > > if ( CntBuys <= MaxBuys ) > > > > > { > > > > > bo.EnterTrade( i, sig.Symbol, True, sig.Price, sig.PosSize, > > > > > sig.PosScore, RoundLotSize = 1); > > > > > CanEnter = True; > > > > > CntBuys++; > > > > > } > > > > > if ( ! CanEnter ) sig.Price = -1; > > > > > } > > > > > } > > > > > bo.ProcessTradeSignals( i ); > > > > > } > > > > > bo.PostProcess(); > > > > > } > > > > > > > > > > > > > > > > > > > > From: [email protected] <mailto:amibroker%40yahoogroups.com> <mailto:amibroker%40yahoogroups.com> > <mailto:amibroker%40yahoogroups.com> > > <mailto:amibroker%40yahoogroups.com> > > > > [mailto:[email protected] <mailto:amibroker%40yahoogroups.com> <mailto:amibroker%40yahoogroups.com> > <mailto:amibroker%40yahoogroups.com> > > <mailto:amibroker%40yahoogroups.com> ] On > > > > Behalf > > > > > Of woodshedder_blogspot > > > > > Sent: Saturday, September 26, 2009 3:52 PM > > > > > To: [email protected] <mailto:amibroker%40yahoogroups.com> <mailto:amibroker%40yahoogroups.com> > <mailto:amibroker%40yahoogroups.com> > > <mailto:amibroker%40yahoogroups.com> > > > > > Subject: [amibroker] Re: Help Limiting number of positions added per > > day > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > TA, thanks for the help. > > > > > I'm having a problem with this line: > > > > > bo.PostProcess(); > > > > > > > > > > This is the error I'm getting: "Error 18 COM object variable is not > > > > > initialized or has invalid type (valid COM object handle required) > > > > > > > > > > Wood > > > > > > > > > > --- In [email protected] <mailto:amibroker%40yahoogroups.com> > <mailto:amibroker%40yahoogroups.com> <mailto:amibroker%40yahoogroups.com> > > <mailto:amibroker%40yahoogroups.com> > > > > <mailto:amibroker%40yahoogroups.com> , "ta" > > > > > <tagroups@> wrote: > > > > > > > > > > > > You need to use Custom Backtester as follows: > > > > > > > > > > > > > > > > > > > > > > > > MaxBuys = 5; > > > > > > > > > > > > SetBacktestMode( backtestRegularRaw2 ); > > > > > > > > > > > > SetCustomBacktestProc(""); > > > > > > > > > > > > if ( Status( "action" ) == actionPortfolio ) > > > > > > > > > > > > { > > > > > > > > > > > > bo = GetBacktesterObject(); > > > > > > > > > > > > bo.PreProcess(); > > > > > > > > > > > > > > > > > > > > > > > > for ( sig = bo.GetFirstSignal( i ); sig; sig = > > > > > > bo.GetNextSignal( i ) ) > > > > > > > > > > > > { > > > > > > > > > > > > if ( sig.IsEntry() ) > > > > > > > > > > > > { > > > > > > > > > > > > // this handles limiting of number of order > > > > > > per day > > > > > > > > > > > > CanEnter = False; > > > > > > > > > > > > if ( CntBuys <= MaxBuys ) > > > > > > > > > > > > { > > > > > > > > > > > > > > > > > > bo.EnterTrade( i, sig.Symbol, True, sig.Price, sig.PosSize, > > > > sig.PosScore, > > > > > > RoundLotSize = 1); > > > > > > > > > > > > CanEnter = > > > > > > True; > > > > > > > > > > > > CntBuys++; > > > > > > > > > > > > } > > > > > > > > > > > > > > > > > > > > > > > > if ( ! CanEnter ) > > > > > > > > > > > > sig.Price = > > > > > > -1; > > > > > > > > > > > > } > > > > > > > > > > > > } > > > > > > > > > > > > bo.ProcessTradeSignals( i ); > > > > > > > > > > > > } > > > > > > > > > > > > bo.PostProcess(); > > > > > > > > > > > > } > > > > > > > > > > > > > > > > > > > > > > > > From: [email protected] <mailto:amibroker%40yahoogroups.com> > <mailto:amibroker%40yahoogroups.com> <mailto:amibroker%40yahoogroups.com> > > <mailto:amibroker%40yahoogroups.com> > > > > <mailto:amibroker%40yahoogroups.com> > > > > > [mailto:[email protected] <mailto:amibroker%40yahoogroups.com> > <mailto:amibroker%40yahoogroups.com> <mailto:amibroker%40yahoogroups.com> > > <mailto:amibroker%40yahoogroups.com> > > > > <mailto:amibroker%40yahoogroups.com> ] On > > > > > Behalf > > > > > > Of woodshedder_blogspot > > > > > > Sent: Thursday, September 24, 2009 8:25 PM > > > > > > To: [email protected] <mailto:amibroker%40yahoogroups.com> <mailto:amibroker%40yahoogroups.com> > <mailto:amibroker%40yahoogroups.com> > > <mailto:amibroker%40yahoogroups.com> > > > > <mailto:amibroker%40yahoogroups.com> > > > > > > Subject: [amibroker] Help Limiting number of positions added per > day > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > Greetings group. > > > > > > > > > > > > I want to limit the number of positions a system will take on any > > given > > > > > day. > > > > > > > > > > > > > > > > > > For example, if a system can handle 20 max positions, I would like > > it to > > > > > > only take on 5 new positions a day (assuming there are more than 5 > > valid > > > > > > signals per day) until it arrives at 20 positions, rather than > > taking on > > > > > all > > > > > > available positions on day 1. > > > > > > > > > > > > Thanks for your help. > > > > > > > > > > > > > > > > > > > > >
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