Thanks Bruce! By commenting out the bo.EnterTrade call, results match the results not using the combo low/med level code.
If it is not too much trouble, I would like to know the reason behind why it is now working. And finally, it should now work to limit new buys per day, no? Again, thanks! --- In [email protected], "Bruce" <bru...@...> wrote: > > Woodshedder, TA - > > Looked like an interesting puzzle and I took a look at it over a cup of > coffee (actually it took 2 cups). Thought it might make a good example > for AmibrokerU, but probably not. BTW, kudos to Woodsheeder for sticking > with it as a new user. > > Anyway, my first reaction when I saw the mixing of mid-level and > low-level CBT code was - in general, probably not a good idea. There > can be some subtle issues. There is also a very minor bug with MaxBuys, > but it has no effect. > > As TA said, it can be tough to tell without your code and your settings. > But, I think that the easiest way to make the results match the 10 > position test that Woodshedder mentions is to do the following (I know > it may seem odd) - > > Comment out the bo.EnterTrade() call. > > Now, if that works and you don't need to know the explanation of what I > think might be the problem, stop here. > > -- BruceR > > > > --- In [email protected], "woodshedder_blogspot" > <woodshedder_blogspot@> wrote: > > > > 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], "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:[email protected]] > On Behalf > > > Of woodshedder_blogspot > > > Sent: Tuesday, September 29, 2009 7:28 PM > > > To: [email protected] > > > 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> , > > > "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> , > > > "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:[email protected] > <mailto:amibroker%40yahoogroups.com> ] On > > > Behalf > > > > > Of woodshedder_blogspot > > > > > Sent: Sunday, September 27, 2009 9:52 PM > > > > > To: [email protected] > <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> , "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:[email protected] > <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> > > > > > > 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> , "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:[email protected] > <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> > > > > > > > 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. > > > > > > > > > > > > > > > > > > > > > > > > > > > >
