backtestRegular with ranking across existing signals

AFL Programming
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#1

Hi,

Two quesitons:

  1. Is it possible to filter the signals, even in backtestRotational mode? Say, you provide a PositionScore which will rank your entries, then you limit the entries to a MAX value ... still you would also like to vary the ranking for each day (say of daily bars for a basket). Something like a switch-off trigger, or an on/off layer on top of the existing "always in" backtestRotational mode?

  2. In the normal backtestRegular mode, one can limit the number of long/short open positions, still is there a ranking functionality possible across generated entries? (I mean, an elegant way, other than going through the for loop for all instruments)

#2

Yes, it is all possible, read the Users' Guide
https://www.amibroker.com/guide/h_portfolio.html
https://www.amibroker.com/f?enablerotationaltrading
https://www.amibroker.com/f?setoption

To answer your first question, in backtestRotational mode, you can limit the number of entries by using the SetOption("MaxOpenPositions", n) function, where n is the maximum number of open positions allowed at any given time.

Regarding your second question, in backtestRegular mode, you can limit the number of long/short open positions using the SetOption("MaxOpenLong") and SetOption("MaxOpenShort") functions.

Everything is described in great detail there