Hi Mark, OK, now Mike has confused me. Do you want to develop a system that is being backtested, or do you want to generate a list of trade candidates each day which you will then trade manually, i.e. with discretion? I understood you to want to see a list of trade candidates each day, hence my two watchlist approach. If however you are looking to have a backtested system, then Mike is right -- you do not need to do my dual watch list approach. I'm going to wait for your response before I start coding in any event.
FWIW (and perhaps you already do this), I think it is only smart to first filter to a watchlist only the stocks you would consider trading, rather than testing on every stock traded. This speeds up your testing and you can update the "My Tradable Stocks" watchlist periodically. For example, if your account size would only allow you to buy 10 shares of GOOG, after applying your position and money management rules, why waste time scanning against GOOG? In my case, I never trade stocks under $5 or with less than 125,000 traded on average over the past 21 days so that is my first cut. Beyond that I have several others as I usually do not enter positions in stocks that are under $7.5 and under 250,000 average daily shares traded (this because I short almost as often as I go long). And I further look for stocks that are likely to be good movers, so I have volatility ATR and range filters, trending filters, momentum filters, etc. When all is said and done, I have a manageable list of stocks on which I do pattern analysis, S&R studies, etc. And at the core of it all are a stable of about 3 dozen stocks which I trade all the time, the composition of which can change based on the foregoing studies. Sorry to go on so. An excellent day of trading, and I'm still unwinding. Peace and Justice --- Patrick ----- Original Message ----- From: Mike To: [email protected] Sent: Thursday, March 04, 2010 1:04 PM Subject: [amibroker] Re: Howto backtest only the top 10 stocks even though your filter list gives you Hi, If I understand you correctly, there should be no need to have a second filter. Just set PositionScore to HV100 and max positions to 10. The backtester will automatically sort by PositionScore and take the highest ranking signals up to and including max positions. However, the above only applies for absolute entries. If your entries are conditional entries (i.e. limit orders), then you have to do some special handling and custom backtesting code. Mike --- In [email protected], "mbluhm2001" <mbluhm2...@...> wrote: > > I'm back testing the whole universe of stocks and i have a filter criteria to reduce that down to possible candidates. Some days i get 5 stocks other days i might get 100 stocks. If i have more than 10 stocks I want to only take the 10 stocks that have the highest HV100. This is easy to see each day when i scan but I want to back test this and this is the problem. Effectively i'm using a filter that gets me the initial list of stocks and then i want to take that list, scan it and then take the top 10 HV100 stocks. > > Just to repeat this another way, the question is how can i effectively use a 2nd filter (and the min value for this filter isn't know until after i have the list of possible stocks to trade for that day) to reduce list to max 10. > > Thanks, > Mark > ------------------------------------ **** IMPORTANT PLEASE READ **** This group is for the discussion between users only. This is *NOT* technical support channel. TO GET TECHNICAL SUPPORT send an e-mail directly to SUPPORT {at} amibroker.com TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at http://www.amibroker.com/feedback/ (submissions sent via other channels won't be considered) For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: http://www.amibroker.com/devlog/ Yahoo! Groups Links
