Hello, I agree and I have added this to internal to-do.
Best regards, Tomasz Janeczko amibroker.com On 2010-07-27 16:42, rise_t575 wrote: > > Hello, > > Of course I have to use PositionScore in the end - but it has been my > experience so far that it often is necessary (or at least extremely helpful) > to understand what AB is doing internally in order to make things work as > intended. Hence my question. > > Sorry if this has been posted in the past already - but I can only go so far > when searching the Yahoo group as there are no dedicated categories as with > conventional forum software. If one isn't lucky enough to search for the > exactly correct keywords, it sometimes resembles looking for the proverbial > needle in a haystack. > > I certainly understand that it must be frustrating to answer the same > questions again and again - and of course I do thank you for explaining this > another time - but with all due respect, such things should be put somewhere > where they are not too difficult to find, i. e. in AB's user manual, in which > I haven't found how exactly AB is processing this (i. e. what happens when > PositionScore is missing). > > So thanks again for your patience& explanation. > > --- In amibroker@yahoogroups.com, Tomasz Janeczko<gro...@...> wrote: >> Hello, >> >> It was explained a couple of times already in the past. >> >> As written in the manual, you should use >> PositionScore to define desired ordering/ranking. >> >> When PositionScore is missing / not defined, AmiBroker will prefer >> LARGER POSITION SIZE first >> >> When position score is missing and pos sizes are equal (or missing) >> then it will use alphabetical order >> >> When position score is missing and pos sizes are equal and symbol is also >> equal (i.e. there are both long and short signals on same symbol at same >> time) >> it will prefer long entry. >> >> Best regards, >> Tomasz Janeczko >> amibroker.com >> >> On 2010-07-27 15:19, rise_t575 wrote: >>> Bump. >>> >>> --- In amibroker@yahoogroups.com, "rise_t575"<rise_t@> wrote: >>>> >>>> Tomasz, >>>> >>>> Let me say this another way: >>>> >>>> I haven't ranked the stocks at all in both codes (yet). >>>> >>>> But still, using SetPositionSize results in entry signals in Z to A order, >>>> while the CBT code results in signals in A to Z order (as expected when >>>> using GetFirstSignal, GetNextSignal). >>>> >>>> Why do I get the signals in Z to A order with SetPositionSize? >>>> >>>> Thanks. >>>> >>>> --- In amibroker@yahoogroups.com, Tomasz Janeczko<groups@> wrote: >>>>> Hello, >>>>> >>>>> You have mistake in your code/thinking. Ranking/sorting occurs in FIRST >>>>> phase of backtest. >>>>> >>>>> Assigning different scores after ranking/sorting is done (in second phase >>>>> / cbt) does not change the ordering, >>>>> that's why in case b) you have alphabetical ordering. >>>>> >>>>> If you want to change the order of trades in CBT you need to do it >>>>> yourself (EnterTrade/ExitTrade/ScaleTrade) >>>>> >>>>> Best regards, >>>>> Tomasz Janeczko >>>>> amibroker.com >>>>> >>>>> On 2010-07-20 23:10, rise_t575 wrote: >>>>>> Another question regarding taking signals / the signal score: >>>>>> >>>>>> As an exercise, I've coded two 100% identical position sizing >>>>>> algorithms, a) in normal AFL (SetPositionSize) and b) with mid-level CBT. >>>>>> After fixing all the obvious bugs in my CBT code, I've noticed that the >>>>>> results still differ. >>>>>> >>>>>> A couple of frustrating hours of later, going through the trades >>>>>> manually, I've noticed that (a = SetPositionSize) and (b = CBT code) are >>>>>> sometimes trading different signals. >>>>>> >>>>>> In the AA's Results list for the same bar, I'm getting the following >>>>>> Entry Signals for (a) and (b): >>>>>> >>>>>> (a) Entry signals(score):SANM=Buy(1), CIEN=Buy(1), AMCC=Buy(1) >>>>>> (b) Entry signals(score):AMCC=Buy(1), CIEN=Buy(1), SANM=Buy(1) >>>>>> >>>>>> While the signals are the same, the order is reversed. Which comes into >>>>>> play when the signal score is the same while there are insufficient >>>>>> funds. >>>>>> >>>>>> If there's only cash available for one more trade, >>>>>> >>>>>> (a) will enter a position in SANM, >>>>>> (b) will enter a position in AMCC, >>>>>> >>>>>> and this is where the difference in the end results for the backtests >>>>>> comes from. >>>>>> >>>>>> Is working SetPositionSize backwards through the signals? >>>>>> >>>>>> Thanks in advance for clarification. >>>>>> >>>>>> >>>>>> --- In amibroker@yahoogroups.com, Tomasz Janeczko<groups@> wrote: >>>>>>> Hello, >>>>>>> >>>>>>> You can either >>>>>>> a) turn ON "Allow position shrinking" - that will allow to open highest >>>>>>> ranked position albeit with adjusted size to fit available funds >>>>>>> b) use custom backtest to detect such circumstance and assign -1 to >>>>>>> price. >>>>>>> >>>>>>> Best regards, >>>>>>> Tomasz Janeczko >>>>>>> amibroker.com >>>>>>> >>>>>>> On 2010-07-20 18:24, Tavan Taban wrote: >>>>>>>> Hello, >>>>>>>> >>>>>>>> Thank you Tomasz, for your clear and wise comments. >>>>>>>> >>>>>>>> By the way, I remember more about the problem I experienced earlier. A >>>>>>>> fictive description of the problem is as follows. >>>>>>>> >>>>>>>> Initial equity: 10000 (default) >>>>>>>> Position Size: 5% >>>>>>>> Highest ranked stock's price: 600 >>>>>>>> Assume 40 more signals. >>>>>>>> >>>>>>>> Result: >>>>>>>> Backtester rejects the highest ranked signal indicating insufficient >>>>>>>> funds and takes no trades. >>>>>>>> The problem continues as this signal continues in raw mode backtest. >>>>>>>> >>>>>>>> At that time, I passed off the subject by simply increasing the >>>>>>>> initial equity. >>>>>>>> Walking towards perfection, perhaps you may consider handling >>>>>>>> different "insufficient funds" differently. >>>>>>>> >>>>>>>> Best regards, >>>>>>>> IK >>>>>>>> >>>>>>>> >>>>>>>> >>>>>>>> >>>>>>>> >>>>>>>> >>>>>>>> 2010/7/20 Tomasz Janeczko<groups@<mailto:groups@>> >>>>>>>> >>>>>>>> Hello, >>>>>>>> >>>>>>>> >>>>>>>> >>>>>>>> "While I have no idea what exactly does happen when I set >>>>>>>> sig.Price to -1 and why this works " >>>>>>>> >>>>>>>> It works because I coded it so. The internal code uses -1 as >>>>>>>> special marker to skip a signal. >>>>>>>> >>>>>>>> >>>>>>>> Best regards, >>>>>>>> Tomasz Janeczko >>>>>>>> amibroker.com<http://amibroker.com> >>>>>>>> >>>>>>>> On 2010-07-20 17:36, rise_t575 wrote: >>>>>>>> > >>>>>>>> > >>>>>>>> > >>>>>>>> > >>>>>>>> > Tomasz, >>>>>>>> > >>>>>>>> > While I have no idea what exactly does happen when I set >>>>>>>> sig.Price to -1 and why this works, I can happily report that it >>>>>>>> *does* work - so thanks for >>>>>>>> the help! >>>>>>>> > >>>>>>>> > --- In >>>>>>>> amibroker@yahoogroups.com<mailto:amibroker%40yahoogroups.com>, Tomasz >>>>>>>> Janeczko<groups@> wrote: >>>>>>>> >> Hello, >>>>>>>> >> >>>>>>>> >> It is simple. By default AmiBroker opens positions in >>>>>>>> RANKED order (more preferred trades first). >>>>>>>> >> If at some point of going through the ranking it finds >>>>>>>> the trade that it can not open (for example >>>>>>>> >> due to insufficient funds) it will NOT open LOWER ranked >>>>>>>> trades because it is undesirable to have >>>>>>>> >> better candidates replaced by worse candidates when you >>>>>>>> run out of funds. >>>>>>>> >> When requested position size is non-zero and position >>>>>>>> size shrinking is ON AmiBroker will attempt >>>>>>>> >> to adjust pos size to lower value within user-defined >>>>>>>> constraints ("MinShares", Round lot size). >>>>>>>> >> It will go down as far as constraints allow, but if it >>>>>>>> reaches the barrier or zero it will reject the trade >>>>>>>> >> and all lower-ranked signals. >>>>>>>> >> Setting signal's pos size to zero in the beginning >>>>>>>> effectively means the same condition. >>>>>>>> >> >>>>>>>> >> You should NOT set position size to zero if you want to >>>>>>>> reject single trade BUT continue to handle lower-ranked signals. >>>>>>>> >> >>>>>>>> >> If you want to SKIP one signal, without affecting others, >>>>>>>> you should set Price property of that signal to -1 (minus one). >>>>>>>> >> >>>>>>>> >> Best regards, >>>>>>>> >> Tomasz Janeczko >>>>>>>> >> amibroker.com<http://amibroker.com> >>>>>>>> >> >>>>>>>> >> On 2010-07-20 12:42, rise_t575 wrote: >>>>>>>> >>> Thanks a lot - I will try your solution. >>>>>>>> >>> Do you have an idea *why* this is happening? >>>>>>>> >>> >>>>>>>> >>> --- In >>>>>>>> amibroker@yahoogroups.com<mailto:amibroker%40yahoogroups.com>, Tavan >>>>>>>> Taban<tavantaban@> wrote: >>>>>>>> >>>> I remember experiencing the same problem earlier. As >>>>>>>> far as I remember, it >>>>>>>> >>>> is something like, if it cancels one, cancels also the >>>>>>>> rest which are not >>>>>>>> >>>> coded to be rejected. I can dig more if it helps. >>>>>>>> >>>> >>>>>>>> >>>> Anyway, one solution alternative may be the following. >>>>>>>> >>>> >>>>>>>> >>>> for( sig = bo.GetFirstSignal( bar ); sig; sig = >>>>>>>> bo.GetNextSignal( bar ) ) >>>>>>>> >>>> { >>>>>>>> >>>> if (IDontLikeThisSignal) sig.Type = 7; >>>>>>>> >>>> } // end if exit >>>>>>>> >>>> >>>>>>>> >>>> >>>>>>>> >>>> 2010/7/17 rise_t575<rise_t@> >>>>>>>> >>>> >>>>>>>> >>>>> Hello, >>>>>>>> >>>>> >>>>>>>> >>>>> I've noticed using mid-level CBT that when I set the >>>>>>>> position size to zero >>>>>>>> >>>>> for the signal in question (the reason for setting it >>>>>>>> to zero is slightly >>>>>>>> >>>>> complicated& not that important here - some data >>>>>>>> needed for a subsequent >>>>>>>> >>>>> calculation is {empty}), the trade is marked as >>>>>>>> "rejected" in AA's results >>>>>>>> >>>>> list (which is perfectly ok). >>>>>>>> >>>>> What is not "perfectly ok" is the fact that the >>>>>>>> backtester rejects the >>>>>>>> >>>>> following signals at the same bar as well (there's >>>>>>>> enough cash available and >>>>>>>> >>>>> position size is> 0). >>>>>>>> >>>>> >>>>>>>> >>>>> How can I prevent this? >>>>>>>> >>>>> >>>>>>>> >>>>> >>>>>>>> >>>>> >>>>>>>> >>> >>>>>>>> >>> >>>>>>>> >>> ------------------------------------ >>>>>>>> >>> >>>>>>>> >>> **** 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<http://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 >>>>>>>> >>> >>>>>>>> >>> >>>>>>>> >>> >>>>>>>> >>> >>>>>>>> > >>>>>>>> > >>>>>>>> > >>>>>>>> > ------------------------------------ >>>>>>>> > >>>>>>>> > **** 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<http://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 >>>>>>>> > >>>>>>>> > >>>>>>>> > >>>>>>>> > >>>>>>>> >>>>>>>> >>>>>>>> >>>>>>>> >>>>>>>> >>>>>> >>>>>> ------------------------------------ >>>>>> >>>>>> **** 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 >>>>>> >>>>>> >>>>>> >>>>>> >>> >>> >>> ------------------------------------ >>> >>> **** 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 >>> >>> >>> >>> > > > > ------------------------------------ > > **** 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 > > > >
