Pardon my ignorance, I have never come across CBT. What is it, and where can I learn more?
Adrian On Wed, Feb 10, 2010 at 7:04 PM, B S <[email protected]> wrote: > > > Thanks for that link - looks like there was considerable interest and its > been planned since 2006. Anyone know why it wasn't ultimately implemented? > > > > ------------------------------ > *From:* "[email protected]" <[email protected]> > *To:* [email protected] > *Sent:* Wed, February 10, 2010 9:07:09 AM > *Subject:* [amibroker] Re: Multiple Systems & Risk Mgmt in one formula > > > > Getting extra data into the CBT can be a challenge. There is a suggestion > in the feedback center here: > http://www.amibroke r.com/feedback/ view_bug. php?bug_id= > 598<http://www.amibroker.com/feedback/view_bug.php?bug_id=598> > > > --- In amibro...@yahoogrou ps.com <amibroker%40yahoogroups.com>, B S > <bs2...@...> wrote: > > > > Hi- > > > > I asked Marcin a question related to this earlier, but given the > considerable interest in the past on this board regarding managing multiple > systems, I'd thought put some further thoughts here. My understanding of > the conclusion reached during the last round of discussions was that each > individual should use low-level CBT to accomplish their multiple systems > management goals. So I've done that, but in the end its of no practical use > because of the incredible number of static arrays that were required to do > it - it 'works' on small samples/tests but the memory demands are too great > for things that I'd actually use it for. As my objectives were rather > simple, I imagine that others are still wrestling with similar issues. > > > > As an example, part of my plan was to limit the % of equity that was > employed by any one system at a given time. Therefore, while in the > backtester I needed to know which system or systems generated the signal. > So I started by creating a static array that i could later access in the > CBT which contained flags (1,2,4,etc.) indicating which system or systems it > came from. However, because of the memory issues, I decided to stuff these > flags into the positionsize property and just determine the actual size > later while looping through CBT. That allowed me to determine which systems > signals were coming from, and then choose which model to allocate the trade > to (in the event of multiple simultaneous signals), but I still needed to > get the correct entry price. There could be as many entry prices as I have > systems, and since I don't know which I'll be using until I get to the > backtester, I needed to store all of them - another static > > array. This process continued like this and then it occurred to me that > just about all of these issues would go away if I could just attach the > information I needed to the entry signal object. So for example, the user > could set PositionSize1, PositionSize2, PositionScore1, PositionScore2, > BuyPrice1, BuyPrice2, and so on...or perhaps just dummy variables... Dummy1, > Dummy2, etc.. I'm sure there's a memory cost to doing this, but it can't > be anything like storing all these static arrays (is this correct? i really > have no idea what i'm talking about). Also, I'm sure just making these > additional property slots available will come at some performance cost, but > perhaps adding them could be an option in settings. > > > > For all I know, editing the number of properties that can be stored in a > signal object is already possible - is it? If not, do others think this > would be useful? Is there a better way of achieving the types of things > that I'm trying to do? > > > > Appreciate any dialogue whatsoever on this - have spent an embarassing > amount of time on it without much to show for it. > > > > > >
