As I said previously, the buys are all working correctly, but all the sells are
triggered simultaneously on the same day, which can't be right. I must be
missing something, but I'm close....
Strategy1_Buy = Buy = Cross(StochFinal,Trigger) AND (EMA( Close,EMAShort ) >
EMA( Close,EMALong ));
Strategy1_Sell = Sell = Cross(Trigger,StochFinal) AND (EMA( Close,EMAShort ) <
EMA( Close,EMALong ));
........
Strategy2_Buy = Buy = Cross(MA( Close,MAShortBuy ),MA( Close,MALongBuy ));
Strategy2_Sell = Sell = Cross(MA( Close,MALongSell ),MA( Close,MAshortSell ));
.......
Strategy3_Buy = Buy = Cross(fast,slow);
Strategy3_Sell = Sell = Cross(slow,fast) OR slow == fast;
........
{
Buy = Strategy1_Buy OR Strategy2_Buy OR Strategy3_Buy;
Sell = Strategy1_Sell OR Strategy2_Sell OR Strategy3_Sell;
}
How can I be sure the trades are matched up properly, i.e. strategy1_Buys with
strategy1_sells?
Steve.
--- In [email protected], "Mike" <sfclimb...@...> wrote:
>
> Hi,
> You're problem is that you are doing exactly what I said not to do. You
> must alter your code to produce an intermediate result for each case,
> then OR the results togeather.
> if ( n == "S&PEmrgMkts" ) { ... Strategy1_Buy = ...}
> if ( n == "S&PEmrgMkts" ) { ... Strategy2_Buy = ...}
> if ( n == "S&PEmrgMkts" ) { ... Strategy3_Buy = ...}
> if ( n == "S&PEmrgMkts" ) { ... Buy = Strategy1_Buy OR Strategy2_Buy
> OR Strategy3_Buy;}
> Alternatively, you could use the "|=" operator to OR the Buy with itself
> and remove the final "if" case. But, if you are not familiar with the
> operator, it might just confuse you.
>
> Buy = 0;
> if ( n == "S&PEmrgMkts" ) { ... Buy |= Cross(StochFinal,Trigger) AND
> (EMA( Close,EMAShort ) > EMA( Close,EMALong ));}
> if ( n == "S&PEmrgMkts" ) { ... Buy |= Cross(MA( Close,MAShortBuy
> ),MA( Close,MALongBuy ));}
> if ( n == "S&PEmrgMkts" ) { ... Buy |= Cross(fast,slow);}
> Mike
> --- In [email protected], "graphman27" <steve@> wrote:
> >
> > Here's is most of the code in question...
> >
> > SetBacktestMode( backtestRegularRawMulti );
> >
> > SetOption("MaxOpenPositions", 3 ); // This sets maximum number of open
> positions
> >
> > //PosQty = 3; // You can define here how many open positions you want
> > //SetOption("MaxOpenPositions", PosQty );
> > //PositionSize = -100/PosQty; // invest 100% of portfolio equity
> divided by max. position count
> >
> > //definition of variables for the symbols not included below
> > Buy = Sell = 0;
> > //symbol-specific rules
> > n = Name();
> > if( n == "S&PEmrgMkts" )
> > {
> > //strategy 1 for Emrg Mkts here
> > EMAShort = Optimize("EMAShort", 2,2,8,2);
> > EMALong = Optimize("EMALong", 10,10,60,5);
> > Period = Optimize ("Period", 45,10,50,5);
> > Trigger = 50;
> >
> > StochTop = (Close-(LLV(Close,Period)));
> > StochBottom = (HHV(Close,Period)-LLV(Close,Period));
> > StochFinal = (StochTop / StochBottom)*100;
> >
> > Buy = Cross(StochFinal,Trigger) AND (EMA( Close,EMAShort ) > EMA(
> Close,EMALong ));
> >
> > Sell = Cross(Trigger,StochFinal) AND (EMA( Close,EMAShort ) < EMA(
> Close,EMALong ));
> > ..................
> >
> > PositionSize = -33;
> > }
> >
> > if( n == "S&PEmrgMkts" )
> > {
> > //strategy 2 for Emrg Mkts here
> > MAShortBuy=Optimize("MAShortBuy",8,7,12,1);
> > MALongBuy=Optimize("MALongBuy",60,20,100,10);
> > MAShortSell=Optimize("MAShortSell",8,2,8,1);
> > MALongSell=Optimize("MALongSell",40,10,80,10);
> >
> >
> > Buy = Cross(MA( Close,MAShortBuy ),MA( Close,MALongBuy ));
> >
> > Sell = Cross(MA( Close,MALongSell ),MA( Close,MAshortSell ));
> >
> >
> > Short = 0;
> >
> > Cover = 0;
> >
> > Plot( MA ( Close,8 ),"MAShortBuy", colorGreen, styleThick );
> > Plot( MA ( Close,60 ),"MALongBuy", colorRed, styleThick );
> > Plot( MA ( Close,8 ),"MAShortSell", colorBlue, styleThick );
> > Plot( MA ( Close,40 ),"MALongSell", colorLightBlue, styleThick );
> > ............................
> >
> > PositionSize = -33;
> > }
> >
> > if( n == "S&PEmrgMkts" )
> > {
> > //strategy 3 for Emrg Mkts here
> > smooth = Optimize("smooth",40,10,65,5);
> > Lag = Optimize("lag",10,2,10,1);
> > fast = DEMA(C,smooth);
> > slow = Ref(EMA(C,smooth),-Lag);
> > Buy = Cross(fast,slow);
> > Sell = Cross(slow,fast) OR slow == fast;
> > ......................
> > PositionSize = -33;
> >
> > Maybe you can tell what I'm doing wrong. I can't get more than one
> buy at a time. Separately, each section of code works fine in
> individual backtests.
> >
> > Thanks in advance!
> >
> > Steve.
> >
> >
> > --- In [email protected], "Mike" sfclimbers@ wrote:
> > >
> > > Without a code sample, it's hard to understand what you are saying.
> But, bottom line is that you must have a single Buy statement which
> includes all the logic of all the formulas.
> > >
> > > e.g.
> > > Strategy1_Buy = ...
> > > Strategy2_Buy = ...
> > >
> > > Buy = Strategy1_Buy OR Strategy2_Buy; // Correct
> > >
> > > You cannot have multiple Buy statements, if that is what you are
> doing.
> > >
> > > e.g.
> > > Buy = ...
> > > Buy = ... // Wrong
> > >
> > > When using multiple Buy assignments, you are clobbering whatever Buy
> used to hold and the last assignment will be the *only* logic that is
> applied.
> > >
> > > Mike
> > >
> > > --- In [email protected], "graphman27" <steve@> wrote:
> > > >
> > > > I downloaded 5.30 and still can't get it to work. What I do see
> is mutiple positions for one symbol IF there is only one signal formula
> for a symbol. I have three separate formulas for one symbol, which
> doesn't seem to work with BacktestRegularRawMulti. I scanned through
> the detailed log and saw multiple positions for the single formula and
> never more than one for the multiple formulas. Also, it was always
> using the second formula. I have position shrinking turned on too.
> > > >
> > > > Here is what I'm saying about formulas:
> > > >
> > > > Symbol #1 has three separate formulas for buy and sells.
> > > > Symbol #2 has one formula.
> > > > Symbol #3 has one formula.
> > > > Symbol #4 has one formula.
> > > >
> > > > Thanks.
> > > >
> > > > --- In [email protected], "Mike" <sfclimbers@> wrote:
> > > > >
> > > > > Hi,
> > > > > It's working fine for me (version 5.30 trial). Note that you may
> need to
> > > > > allow position size shrinking for all trades to fire. Use the
> detailed
> > > > > log option from AA Settings Report tab to see what's going on.
> > > > > SetBacktestMode(backtestRegularRawMulti);
> > > > >
> > > > > PositionSize = -33;
> > > > > Dates = DateTime();
> > > > > Buy = Dates == StrToDateTime("2010-Jan-05") || Dates ==
> > > > > StrToDateTime("2010-Jan-11") || Dates ==
> StrToDateTime("2010-Jan-07");
> > > > > Sell = DateTime() == StrToDateTime("2010-Jan-15");
> > > > > Mike
> > > > > --- In [email protected], "graphman27" <steve@> wrote:
> > > > > >
> > > > > > I developed different signals for the same symbol and want all
> signals
> > > > > to work individually within the portfolio backtester. It ain't
> workin'!
> > > > > I tried adding "SetBacktestMode (backtestRegularRawMulti);" to
> the
> > > > > beginning of my code, to no avail. I have the position size set
> up for
> > > > > -33 and three separate signals. It only seems to be pulling one
> signal,
> > > > > because the number of trades and the CAR should be 3Xs higher
> than it
> > > > > is.
> > > > > >
> > > > > > Help!
> > > > > >
> > > > > > Thanks,
> > > > > >
> > > > > > Steve.
> > > > > >
> > > > >
> > > >
> > >
> >
>
