[ZachSwann]

That’s a few parts of the puzzle I was hoping to get the rank before preprocess because the idea I have is percentage based risk parity and sig.possize only accepts a number not an array. Any other ideas?

[ZachSwann]

I have had a bit of a play with it and this is what I don’t know
symlist part is there an easy way to get a whole watchlist as a string?
The static variable below I think it puts them in order and returns a string. I think you create a loop similar to Cnt loop in a previous post but I am not sure what to use instead of getfirstsignal and getnextsignal because if that is used I can’t use an array which I want too.

symlist = “C,CAT,DD,GE,IBM,INTC,MSFT”;

// delete static variables – DO NOT forget the asterisk (wildcard) at the end
StaticVarRemove( “ValuesToSort*” );

// fill input static arrays

for ( i = 0; ( sym = StrExtract( symlist, i ) ) != “”; i++ )
{
SetForeign( sym );
Value = ROC( C, 10 );
RestorePriceArrays();
StaticVarSet( “ValuesToSort” + sym, Value );
}

// perform ranking
StaticVarGenerateRanks( “rank”, “ValuesToSort”, 0, 1224 ); // normal rank mode

// read ranking
rk = 0;
for ( i = 0; ( sym = StrExtract( symlist, i ) ) != “”; i++ )
{
StaticVarGet( “RankValuesToSort” + sym );
rk++;
}
//=================================================================================
_SECTION_END();

This is current code doesn’t work but maybe I am not seeing something dead simple

[ZachSwann]

Fair Point

[ZachSwann]

I thought the reason to half it was if the intraday prices all had lows at the same time on a black swan event. IB would auto liquidate If share were more then 4:1

[ZachSwann]

Done that already I thought there might have been away around that other just excluding

[ZachSwann]

With your island share code does code does that just exclude from exploration and backtest? And Island Share your talking Island exchange ?
ADES is on 2 exchanges LSE and NASDAQ

[ZachSwann]

Not a 5 cent share
Error says it’s ambiguous is that the normal error for an island share?

[ZachSwann]

Any Idea why?

[ZachSwann]

I have just had a thought in regards to Kelly criterion and leverage. For example if the result you get out of the Kelly criterion formula is 20% and no leverage. If 4:1 leverage position size 5%.
What everyone elses thoughts?

[ZachSwann]

I think the problem was using the vps through my phone and double clicking in IB

[ZachSwann]

Myo in radge api I not sure could be just a brain fart on behalf

[ZachSwann]

Strange order for myo.asx but order went into mqa.asx any ideas why?

[ZachSwann]

StaticVarGenerateRanks I didn’t even know that existed.
That would be before all the backtesting code I gather?

[ZachSwann]

SHLM – 5 Cent List

[ZachSwann]

I answered most of my own question but any ideas how to Param sig.PosSize??
//=================================================================================
//Backtesting Parameters
//=================================================================================
posqty = Param(“# Positions”,20,1,100,1);
Eq = Param(“Initial Equity”,100000,1,10000000,1);
SetOption(“InitialEquity”,Eq);
SetOption(“MaxOpenPositions”,posqty);
SetOption(“UsePrevBarEquityForPosSizing”,True);
SetOption(“AccountMargin”,100);
SetTradeDelays(0,0,0,0);
SetOption(“UseCustomBacktestProc”, True );

if( Status(“action”) == actionPortfolio )
{
bo = GetBacktesterObject();
bo.PreProcess();
for( bar = 0; bar < BarCount; bar++ )
{
Cnt = 1;

for( sig = bo.GetFirstSignal( bar ); sig; sig = bo.GetNextSignal( bar ) ) // Cnt Ends up being the rank
{
if( Cnt == 1) sig.PosSize = -20; // sig.PosSize If -20 is 20% of portfolio If +20 is $20
if( Cnt == 2) sig.PosSize = -5; // -param wouldn’t work for me not sure why
if( Cnt == 3) sig.PosSize = -5;
if( Cnt == 4) sig.PosSize = -5;
if( Cnt == 5) sig.PosSize = -5;
if( Cnt == 6) sig.PosSize = -5;
if( Cnt == 7) sig.PosSize = -5;
if( Cnt == sig.PosSize = -5;
if( Cnt == 9) sig.PosSize = -5;
if( Cnt == 10) sig.PosSize = -5;
if( Cnt == 11) sig.PosSize = -5;
if( Cnt == 12) sig.PosSize = -5;
if( Cnt == 13) sig.PosSize = -5;
if( Cnt == 14) sig.PosSize = -5;
if( Cnt == 15) sig.PosSize = -5;
if( Cnt == 16) sig.PosSize = -5;
if( Cnt == 17) sig.PosSize = -2.5;
if( Cnt == 18) sig.PosSize = -2.5;
if( Cnt == 19) sig.PosSize = -2.5;
if( Cnt >= 20) sig.PosSize = -2.5;
Cnt++;
}
bo.ProcessTradeSignals( bar );
}
bo.PostProcess();
}

wr = Param(“Worst Rank”,20,1,20,1);
SetBacktestMode(backtestRotational);
SetOption(“WorstRankHeld”,wr);
EOM = Month() != Ref(Month(),-1);//First trading day of the month
score = Ref(Rank,-1);//score is the rotational criteria
Score = IIf(LE,score,0);
PositionScore = IIf(Year()>=1985 AND EOM,Score,scoreNoRotate);
//

---

[Author]

Posts