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September 28, 2015

Symbol selection when PositionScore is not defined

AmiBroker’s portfolio backtester allows to define stock ranking and selection criteria by means of PositionScore variable. This is explained in details in the following tutorial chapter:

http://www.amibroker.com/guide/h_portfolio.html

If PositionScore is not defined or it has the same value for two or more symbols, then AmiBroker will use the following rules:

  1. transaction with greater PositionSize is preferred – the comparison method depends on the position sizing approach used in our code:
    • If we use SetPositionSize( dollarvalue, spsValue) – then $ value is compared.
    • If we use SetPositionSize( shares, spsShares) – then number of shares is used for comparison.
    • If we use SetPositionSize( perc, spsPercentOfEquity) – then % equity matters.
  2. alphabetical order
  3. long trades rather than short trades, if both occur at the same time for the same symbol.

Related articles:

  1. Position sizing based on risk
  2. Per-symbol profit/loss in a portfolio backtest
  3. How generate backtest statistics from a list of historical trades stored in a file
  4. How to exclude top ranked symbol(s) in rotational backtest
  5. Broad market timing in system formulas

* Filed by Tomasz Janeczko at 9:59 am under General
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