[amibroker] Re: Unable to Produce an Exploration that Mimics my Backtest Results

> exit and entry times further down in the code. > > Should I be concentrating on solving this as a backtest or an exploration? > > > --- In amibroker@yahoogroups.com, "re_rowland" wrote: > > > > Without looking at your code... > > > > Try going t

[amibroker] Re: Unable to Produce an Exploration that Mimics my Backtest Results

Without looking at your code... Try going to Backtester Settings: Portfolio: and then enable Add artificial future bar (allows to see tomorrow's trade picks) Then run your AFL as a Backtest instead of an Exploration. --- In amibroker@yahoogroups.com, "sancra01" wrote: > > Hi > > I'm hoping so

[amibroker] Having Trouble with TimeFrameCompress

Can't figure out what I'm doing wrong. Using daily EOD data, I'm trying to run Exploration reports on Monthly data. First I compress the Close to Monthly mc = TimeFrameCompress( C, inMonthly , compressLast); During the current month, the latest value for "mc" represents a mid-month value. T

[amibroker] Re: backtestRotational and data holes

= ValueWhen(Month() != Ref(Month(), 1), myConditions); > > and use it for proper buy/sell rules. > > I hope it make it clearer. > > Paolo > > > --- In amibroker@yahoogroups.com, "re_rowland" wrote: > > > > > > If you have data holes, then I

[amibroker] Re: backtestRotational and data holes

If you have data holes, then I don't see how not using rotational mode fixes your problem. Perhaps I don't understand your problem because I'm not sure what you mean by "month-end rebalancing signals are incorrectly interpolated." --- In amibroker@yahoogroups.com, "Paolo" wrote: > > Just wonde

[amibroker] Re: Limiting Drawdown in a Backtest

One approach would be to look at risk-adjusted net-profit, and in your case you are defining risk to be drawdown. There are then 3 approaches you could take (actually there are more than 3). In psuedo code, the three would be something like: // step function penalty for MDD > 30% (the approa

[amibroker] Re: Delisted stocks cause positions to never close

I would look for volume = zero (probably null is better) for a day (perhaps two days) as an indication it has been delisted. Just add another Sell criteria to look for this case and use last available price. Since it is a backtest, and you would presumably know ahead of time of any delisitng f

[amibroker] Re: rotational testing - buy a specific ETF when model is uninvested?

When using a long-only rotational system you should be able to accomplish this with something like: // psuedo code (not tested or of correct syntax) PositionScore = (iff ticker == SHY, 0.01, PositionScore); This approach basically says if all other tickers generate PositionScore of <=0, then SH

[amibroker] Re: Rotational trading with separate rankings for each watchlist

Since you only want the top one from each, then it is a pretty straightforward task to perform 3 separate runs, one with each watchlist that has just one holding. You can automate something like this with BatMan and the daily reports will show you the three positions. I do not know of an easy

[amibroker] Re: Rotational exiting trades on holidays

I think that should only happen if you are running it each day with add future bar to see new trades enabled since it does not know ahead of time when the next trading will be (weekends and holiday). If you wait a few days and run it again you will likely see the correct dates. I always use 1

[amibroker] Re: Exploration of watchlist and not all symbols appear in the results

Some other things to check: Make sure you are specifying the exploration to be on n last days or n last quotations. If you are using a range, you might be pointing to a range where one of the tickers has no data. How are you determining the WL has 19 entries? Perhaps your handwritten list or

[amibroker] Re: Rotational Trading question

Yes, look into: SeparateLongShortRank, MaxOpenLong, MaxOpenShort --- In amibroker@yahoogroups.com, "Chris DePuy" wrote: > > Using rotational trading, does anyone know an easy way to buy the top 10% of > scores and short the bottom 10% of scores generated at each bar? >

[amibroker] Re: Group Tickers in Yahoo

I believe their groups are the same as the Hemscott Groups. TC2000 uses these same groups and maintains the historical data for each. Their naming covention is slightly different, as I believe they us MGxxx, but the xxx is the same number as the Yahoo groups. I no longer have a TC2000 subscri

[amibroker] Re: Question about PositinScore in backtesting

Howard's statement that "Rotational trading is...is limited by the inability to use Buy and Sell signal, Stops, Timed exits, and other techniques." is not entirely accurate when using AmiBroker. Buy and Sell signals can be easily included into the PositionScore. Just simply multiply the Posit

[amibroker] Re: Strange backtesting behavior

If you have trade delays set to next day, then the new buys will be based on the positionscore of the prior day. If you enable "detailed" reports on the backtester it should show you the postionscores for the top max positions in your test. My guess is that the #18 and #25 picks had better sco

[amibroker] Re: How to get summary stats only in Exploration?

I leave filter =1 and just set the range to n=1 last days. --- In amibroker@yahoogroups.com, "progster01" wrote: > > Thank you Mike. > > I've gotten way too used to > > Filter = 1 ; > > as part of the scenery! > > > --- In amibroker@yahoogroups.com, "Mike" wrote: > > > > Set Filter to

[amibroker] Re: Trade profit column in trade list

Most multi-billion dollar institutions use variables and factors other than just entry and exit prices to calculate profit on open trades. --- In amibroker@yahoogroups.com, "Potato Soup" wrote: > > I am checking foe trades that are open and are worse than say -100 profit. > Seems however that t

[amibroker] Re: Rotational trade - how do I get the top 10% of stocks?

psuedo code would be: ListQty = number of stocks in WL (not sure of easiest way to do this) SetOption("MaxOpenPositions",ListQty/10); --- In amibroker@yahoogroups.com, "droskill" wrote: > > Question for the group - I know how to buy up to a specific number of > positions, but how can I make th

[amibroker] New Poland ETF Launched

The Market Vectors Poland ETF (PLND) began trading on the NYSE this morning. This article (link below) contains exclusive analysis and commentary from Tomasz: http://investwithanedge.com/us-investors-now-have-direct-access-to-polan\ d

[amibroker] Re: Batman question...

Check your logic to be sure that incomplete weeks are treated correctly. Also, if you are using EOD and "next day" trading, then be sure to enable "add artificial future bar" otherwise you will not get the trades acurately when running in "production" mode. --- In amibroker@yahoogroups.com, Kei

[amibroker] Re: Quick Question about Max System Drawdown

Bistrader, that is not how leveraged ETFs work. A 2x ETF is not the same as a 1x ETF on 50% margin. Your 1x on 50% margin never rebalances unless you get a margin call. Your 2x ETF rebalances EVERY day and the daily compounding will produce results very different, sometimes vastly different,

[amibroker] Re: Rotational Question

Derek, The psuedo code logic you need is something like: If S&P < its 200 MA then set PositionScore of bond funds to 999 (very high value) else set PostionScore normally If your worst held rank is x, then include at least x number of bond funds in your universe to force the rankings of all ot

[amibroker] Re: Fasttrack vs QuotesPlus

FastTrack has good Close data. FastTrack does NOT have Open, High, Low, or Volume. --- In amibroker@yahoogroups.com, "whitneybroach" <[EMAIL PROTECTED]> wrote: > > I am currently using QuotesPlus for stock data and am wondering if I > would be better served (in AmiBroker) by switching to Fasttrac

[amibroker] Re: Need help on rotation system

I think you want to run in daily mode. You have your entry/exits set to 1 bar delay. That way when you run on the weekend, it will use data up through Friday and give you trades to enter on Monday. If you are running in weekly timeframe, then a 1-bar delay would be a 1-week delay, which I do

[amibroker] Converting "WorstRankHeld" option to "WorstPercentileHeld"

When using ENABLEROTATIONALTRADING() I would like to specify the "WorstRankHeld" option as a "WorstPercentileHeld". The reason for this is because when using a Watchlist such as the Fidelity Select Funds, the number of funds changes from a quantity of 7 in the 1980s to a quantity of 42 today. The

[amibroker] Re: Need help on rotation system

I think you want to run in daily mode. You have your entry/exits set to 1 bar delay. That way when you run on the weekend, it will use data up through Friday and give you trades to enter on Monday. If you are running in weekly timeframe, then a 1-bar delay would be a 1-week delay, which I do