Steve,
It's not clear to me what you are describing, particularly when you say that
you've combined signals into a few "Portfolios".
To try and work around our differences in terminology, let me describe the
scenario I'm proposing, and see if it can be applied to you.
1. Write AFL entry and exit rules in a script that we'll call Rules.afl. This
script can be run on any number of symbols. We'll call the chosen symbols
Watchlist 1. If you choose to only run it on 3 symbols, Watchlist 1 would
contain only those 3 symbols.
2. Optimize Rules.afl to find best combination of parameters for Watchlist 1.
3. Satisfied with step 2, change the default value of the Optimize statements
in Rules.afl to reflect the optimal combination.
e.g.
x = Optimize("X", 5, 1, 10, 1); // Assuming 5 found to be optimal.
4. Add Exploration support to Rules.afl allowing output of new signals.
e.g.
Filter = Buy OR Sell;
AddColumn( IIf( Buy, Asc("B"), Asc("S")), "Signal", formatChar );
5. Run the exploration on Watchlist 1 every day before market open. The
resulting output would be along the lines of:
SPY, 05/20/10, B <-- Buy SPY.
IWM, 05/20/10, S <-- Sell IWM.
The above will allow you to run an exploration any time between market close
and the following market open. The output will be the signals found in the most
recent bar for which you have data (i.e. last night), with which you will place
orders during the next bar (i.e. today).
If your Buy and Sell arrays contain redundant signals, then use ExRem to clear
them out before generating the explore output.
e.g.
UniqueBuy = ExRem(Buy, Sell);
UniqueSell = ExRem(Sell, UniqueBuy);
Filter = UniqueBuy OR UniqueSell;
AddColumn( IIf( UniqueBuy, Asc("B"), Asc("S")), "Signal", formatChar );
Mike
--- In [email protected], "graphman27" <st...@...> wrote:
>
> Mike: Thanks for offering your help.
>
> Here is what I've done:
>
> 1. Developed several signals for individual symbols (not for use with
> scanning thousands of symbols, but built specifically for one).
>
> 2. Combined those signals into a few Portfolios, with say 3 buy signals in
> each, but for only three different symbols.
>
> 3. Backtested each and optimized.
>
> 4. Final Step - Running some type of daily report to see new trades each day.
>
> You're saying run my script as an Exploration. Now I understand I have to
> enter some type of filter and report columns. How do I do that with
> portfolio code? I'm only looking for a few symbols.
>
> ex. SPY, IWM, & MDY
>
> Thanks, because I'm clueless about the Exploration function. I'll keep
> digging on here and on the AB site.
>
> Steve.
>
>
> --- In [email protected], "Mike" <sfclimbers@> wrote:
> >
> > Run your script as an exploration, outputting Buy and Sell and any other
> > interesting data.
> >
> > The trades won't show up 'till the next bar of data (i.e. after today's
> > close). But, the signals are immediately available (i.e. yesterday's close).
> >
> > Trade the signals, not the backtest.
> >
> > Mike
> >
> > --- In [email protected], "graphman27" <steve@> wrote:
> > >
> > > As I complete the creation of Amibroker signals and their subsequent
> > > portfolios, I'm having a logistical problem. When I am creating and
> > > backtesting portfolios, I use Buy and Sell Delays of +1 for both mutual
> > > funds and ETFs. This works best for mutual fund accuracy and, since I
> > > use EOD data only, it works well for ETFs as well.
> > >
> > > Here is my question. When I finish backtesting a portfolio and want to
> > > "switch" to "live" trades, I seem to have a problem. If I leave the
> > > Settings for Reports at Buy+1 and Sell+1, when I run the trade reports
> > > each morning to see what the EOD data did from the previous night, I get
> > > one day delayed trades. In other words, if a signal actually got
> > > generated last night, it will not show up on the trade report until the
> > > next day's CLOSE, which is obviously too late. Is the only way to
> > > alleviate that problem to go back into settings and change them to Buy+0
> > > and Sell+0? If so, I worry that as I switch back and forth between
> > > wanting "live" trades for taking action and going back into signal
> > > backtesting mode, I will forget to switch between +0 and +1 in the
> > > settings. Since I am now "live" with two portfolios and will probably
> > > keep working on new ones for months to come, is there a better, fail-safe
> > > way of doing this? Otherwise, I will be manually switching many times
> > > per day/week.
> > >
> > > Remember: These are portfolios with multiple signals inside of them, so
> > > I don't want to run each signal separately and look for arrows on charts.
> > >
> > > Thanks so much!
> > >
> > > Steve.
> > >
> >
>
