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Part 1
A very big thank you to Julian who pursued the selection bias issues and found a solution via the custom backtester (CBT). He’s done this at his own expense and has kindly allowed me to share with the group.
We have looked at the code on both MOC and multi day systems and have so far concluded it’s doing what it’s supposed to do.
That said, the onus is on you to check for yourself.
This post will be a brief outline on the code and associated aspects. Over the coming week we will rewrite the appropriate course notes.
To use the code a few changes need to be made elsewhere:
The Buy statement requires the limit price condition to be excluded:
Signals will be ranked before sending through the CBT. The following seems to work reasonably well. Insert this snippet above your setup conditions.
Amend the PositionScore to:
Now add the CBT code to the bottom of your existing code:
Code:_SECTION_BEGIN(“Custom Backtester”);
DailyEntryOrderLimit = MaxPos;
Ticker = Name();
StaticVarSet(Ticker + “LimitEntryPrice”, Ref(BuyLim,-1));SetCustomBacktestProc(“”);
if (Status(“action”) == actionPortfolio)
{
bo = GetBacktesterObject(); // Get backtester object
bo.PreProcess(); // Do pre-processing (always required)
MaxOrdersToPlace = 0;
TotalOrdersPlaced = 0;for (i = 0; i < BarCount; i++) // Loop through all bars { MaxOrdersToPlace = MaxPos - bo.GetOpenPosQty(); TotalSignalCount = 0; SigCount = 0; // Count all entry signals for this bar for (sig = bo.GetFirstSignal(i); sig; sig = bo.GetNextSignal(i)) { if (sig.IsEntry() && sig.IsLong()) TotalSignalCount++; } // Process signals for (sig = bo.GetFirstSignal(i); sig; sig = bo.GetNextSignal(i)) { if (sig.IsEntry() && sig.IsLong()) { SigCount++; LimitPrice = StaticVarGet(sig.Symbol + "LimitEntryPrice"); LowPrice = Foreign(sig.Symbol, "Low"); // Restrict number of orders per day if (SigCount > MaxOrdersToPlace OR // Lower in the list than MaxPos less Open positions
SigCount > DailyEntryOrderLimit) // Exceeds max orders per day parameter setting
sig.Price = -1; // Therefore exclude this signal
else
TotalOrdersPlaced++; // Count orders placedif (LimitPrice[i] <= LowPrice[i]) // If limit less than Low... sig.Price = -1; // ...Doesn't meet entry trigger criteria } } // End of for loop over signals at this bar bo.ProcessTradeSignals(i); // Process trades at bar (always required) } // End of for loop over bars bo.PostProcess(); // Do post-processing (always required) st = bo.GetPerformanceStats(0); bo.AddCustomMetric("Total Entry Orders Placed", TotalOrdersPlaced, Null, Null, 0); bo.AddCustomMetric("Fill Rate", NumToStr(((st.getvalue("AllQty") / TotalOrdersPlaced) * 100), 1.0) + "%", Null, Null, 1); } _SECTION_END();
The exploration code is:
Code:_SECTION_BEGIN(“Explore”);if (Status(“action”) == actionExplore)
{Filter = Buy;
Filter = LESetUp;AddTextColumn(WriteIf(LESetup,””+BuyLim,””),”Lmt Price”,1.3,29,55);
AddColumn(Rank,”Ranking Measure”,1.2);SetSortColumns(-4);
AddRankColumn();
}_SECTION_END();
When I first started to test this I found ranking by ROC worked well for me, but in keeping with the spirit of collaboration, I would greatly appreciate anyone finding a better ranking method to pass it on
Better might just be better for your system, but at least we all get a chance to try it.
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