jared
January 16, 2026, 1:12am
1
I'm backtesting a simple AFL script. I noticed that if I make the trade entry filter too loose that I hit a maximum of 2,200 trades. I'm testing against December of 2025 which had 22 Trading Days. When I look at the results I see that there are exactly 100 trades per day.
I've set Max Open Positions to 1000 in Settings and in the AFL code. I can't seem to find who or what is limiting me to 100 Trades per day.
My test code is below. In it I have commented out the different cumulativeVolume filters. To the right of them in the comment you can see how many Backtest results I got when using that cumulativeVolume filter. As my filter is looser I hit a cap of 2,200 trades. I can see there should be more than 2,200 by using Explore. The code enters all trades on the same minute.
I've searched quite a bit and haven't found anything specific to my issue.
Any ideas on how to increase the 100 trades per day limit would be greatly appreciated!
SetPositionSize(0.001, spsPercentOfEquity);
SetOption("MaxOpenPositions", 1000);
SetBacktestMode(backtestRegularRawMulti);
dn = DateNum();
minutesSincePreOpen = (Hour() * 60 + Minute()) - 240;
firstBarOfNewDay = dn != Ref(dn, -1);
cumulativeVolume = Cum(Volume) - ValueWhen(firstBarOfNewDay || BarIndex() == 0, Cum(Volume) - Volume);
//trade_signal = minutesSincePreOpen == 329 && cumulativeVolume > 10000000; // 148
//trade_signal = minutesSincePreOpen == 329 && cumulativeVolume > 5000000; // 277
//trade_signal = minutesSincePreOpen == 329 && cumulativeVolume > 1000000; // 964
//trade_signal = minutesSincePreOpen == 329 && cumulativeVolume > 950000; // 999
//trade_signal = minutesSincePreOpen == 329 && cumulativeVolume > 750000; // 1223
trade_signal = minutesSincePreOpen == 329 && cumulativeVolume > 500000; // 1711
//trade_signal = minutesSincePreOpen == 329 && cumulativeVolume > 100000; // 2200
//trade_signal = minutesSincePreOpen == 329 && cumulativeVolume > 10000; // 2200
//trade_signal = minutesSincePreOpen == 329 && cumulativeVolume > 1000; // 2200
trade_exit = BarsSince(trade_signal) >= 90;
trade_exit = ExRem(trade_exit, trade_signal);
PositionScore = cumulativeVolume;
Buy = IIf(trade_signal, 1, 0);
BuyPrice = IIf(trade_signal, Open, 0);
Sell = IIf(trade_exit, 1, 0);
SellPrice = IIf(trade_exit, Open, 0);
Short = 0;
Cover = 0;
Filter = Buy;
AddColumn(cumulativeVolume, "Cum Vol", 1);
AddColumn(minutesSincePreOpen, "minutesSincePreOpen", 1);
nsm51
January 16, 2026, 3:22am
2
For BT debugging, best to upload .APX file instead of AFL as many BT parameters are controlled from the UI settings window.
jared
January 16, 2026, 3:50am
3
Thanks! I'm new to AmiBroker and had no idea the apx existed. The forum wont let me upload a file (I'm new), so I've copied the contents of that apx file below.
<?xml version="1.0" encoding="ISO-8859-1"?>
<AmiBroker-Analysis CompactMode="0">
<General>
<FormatVersion>1</FormatVersion>
<Symbol>OPK</Symbol>
<FormulaPath>G:\\momentum-sql\\strategies\\Formula 4.afl</FormulaPath>
<FormulaContent>SetPositionSize(0.001, spsPercentOfEquity);\r\nSetOption("MaxOpenPositions", 1000);\r\nSetBacktestMode(backtestRegularRawMulti);\r\n\r\ndn = DateNum();\r\nminutesSincePreOpen = (Hour() * 60 + Minute()) - 240;\r\nfirstBarOfNewDay = dn != Ref(dn, -1);\r\ncumulativeVolume = Cum(Volume) - ValueWhen(firstBarOfNewDay || BarIndex() == 0, Cum(Volume) - Volume);\r\n\r\n//trade_signal = minutesSincePreOpen == 329 && cumulativeVolume > 10000000; // 148\r\n//trade_signal = minutesSincePreOpen == 329 && cumulativeVolume > 5000000; // 277\r\n//trade_signal = minutesSincePreOpen == 329 && cumulativeVolume > 1000000; // 964\r\n//trade_signal = minutesSincePreOpen == 329 && cumulativeVolume > 950000; // 999\r\n//trade_signal = minutesSincePreOpen == 329 && cumulativeVolume > 750000; // 1223\r\n//trade_signal = minutesSincePreOpen == 329 && cumulativeVolume > 500000; // 1711\r\n trade_signal = minutesSincePreOpen == 329 && cumulativeVolume > 100000; // 2200\r\n//trade_signal = minutesSincePreOpen == 329 && cumulativeVolume > 10000; // 2200\r\n//trade_signal = minutesSincePreOpen == 329 && cumulativeVolume > 1000; // 2200\r\n\r\ntrade_exit = BarsSince(trade_signal) >= 90;\r\ntrade_exit = ExRem(trade_exit, trade_signal);\r\n\r\nPositionScore = cumulativeVolume;\r\nBuy = IIf(trade_signal, 1, 0);\r\nBuyPrice = IIf(trade_signal, Open, 0);\r\nSell = IIf(trade_exit, 1, 0);\r\nSellPrice = IIf(trade_exit, Open, 0);\r\nShort = 0;\r\nCover = 0;\r\n\r\nFilter = Buy;\r\nAddColumn(cumulativeVolume, "Cum Vol", 1);\r\nAddColumn(minutesSincePreOpen, "minutesSincePreOpen", 1);\r\n</FormulaContent>
<ApplyTo>0</ApplyTo>
<RangeType>0</RangeType>
<RangeAmount>1</RangeAmount>
<FromDate>2025-12-01 00:00:00</FromDate>
<ToDate>2025-12-31</ToDate>
<OnSelectAction>7</OnSelectAction>
<RunEvery>0</RunEvery>
<RunEveryInterval>5min</RunEveryInterval>
<IncludeFilter>
<ExcludeMode>0</ExcludeMode>
<OrSelection>0</OrSelection>
<Favourite>0</Favourite>
<Index>0</Index>
<Type0>0</Type0>
<Category0>-1</Category0>
<Type1>1</Type1>
<Category1>-1</Category1>
<Type2>2</Type2>
<Category2>-1</Category2>
<Type3>3</Type3>
<Category3>-1</Category3>
<Type4>4</Type4>
<Category4>-1</Category4>
<Type5>5</Type5>
<Category5>-1</Category5>
<Type6>6</Type6>
<Category6>-1</Category6>
</IncludeFilter>
<ExcludeFilter>
<ExcludeMode>1</ExcludeMode>
<OrSelection>0</OrSelection>
<Favourite>0</Favourite>
<Index>0</Index>
<Type0>0</Type0>
<Category0>-1</Category0>
<Type1>1</Type1>
<Category1>-1</Category1>
<Type2>2</Type2>
<Category2>-1</Category2>
<Type3>3</Type3>
<Category3>-1</Category3>
<Type4>4</Type4>
<Category4>-1</Category4>
<Type5>5</Type5>
<Category5>-1</Category5>
<Type6>6</Type6>
<Category6>-1</Category6>
</ExcludeFilter>
</General>
<BacktestSettings>
<InitialEquity>1e+07</InitialEquity>
<TradeFlags>3</TradeFlags>
<MaxLossStopMode>0</MaxLossStopMode>
<MaxLossStopValue>0</MaxLossStopValue>
<MaxLossStopAtStop>0</MaxLossStopAtStop>
<ProfitStopMode>0</ProfitStopMode>
<ProfitStopValue>0</ProfitStopValue>
<ProfitStopAtStop>0</ProfitStopAtStop>
<TrailingStopMode>0</TrailingStopMode>
<TrailingStopPeriods>0</TrailingStopPeriods>
<TrailingStopValue>0</TrailingStopValue>
<TrailingStopAtStop>0</TrailingStopAtStop>
<CommissionMode>0</CommissionMode>
<CommissionValue>0</CommissionValue>
<BuyPriceField>0</BuyPriceField>
<BuyDelay>0</BuyDelay>
<SellPriceField>0</SellPriceField>
<SellDelay>0</SellDelay>
<ShortPriceField>0</ShortPriceField>
<ShortDelay>0</ShortDelay>
<CoverPriceField>0</CoverPriceField>
<CoverDelay>0</CoverDelay>
<ReportSystemFormula>0</ReportSystemFormula>
<ReportSystemSettings>0</ReportSystemSettings>
<ReportOverallSummary>1</ReportOverallSummary>
<ReportSummary>1</ReportSummary>
<ReportTradeList>1</ReportTradeList>
<LoadRemainingQuotes>1</LoadRemainingQuotes>
<Periodicity>5</Periodicity>
<InterestRate>0</InterestRate>
<ReportOutPositions>1</ReportOutPositions>
<UseConstantPriceArrays>0</UseConstantPriceArrays>
<PointsOnlyTest>0</PointsOnlyTest>
<AllowShrinkingPosition>0</AllowShrinkingPosition>
<RangeType>0</RangeType>
<RangeLength>0</RangeLength>
<RangeFromDate>2025-12-01 00:00:00</RangeFromDate>
<RangeToDate>2025-12-31</RangeToDate>
<ApplyTo>0</ApplyTo>
<FilterQty>2</FilterQty>
<IncludeFilter>
<ExcludeMode>0</ExcludeMode>
<OrSelection>0</OrSelection>
<Favourite>0</Favourite>
<Index>0</Index>
<Type0>0</Type0>
<Category0>-1</Category0>
<Type1>1</Type1>
<Category1>-1</Category1>
<Type2>2</Type2>
<Category2>-1</Category2>
<Type3>3</Type3>
<Category3>-1</Category3>
<Type4>4</Type4>
<Category4>-1</Category4>
<Type5>5</Type5>
<Category5>-1</Category5>
<Type6>6</Type6>
<Category6>-1</Category6>
</IncludeFilter>
<ExcludeFilter>
<ExcludeMode>1</ExcludeMode>
<OrSelection>0</OrSelection>
<Favourite>0</Favourite>
<Index>0</Index>
<Type0>0</Type0>
<Category0>-1</Category0>
<Type1>1</Type1>
<Category1>-1</Category1>
<Type2>2</Type2>
<Category2>-1</Category2>
<Type3>3</Type3>
<Category3>-1</Category3>
<Type4>4</Type4>
<Category4>-1</Category4>
<Type5>5</Type5>
<Category5>-1</Category5>
<Type6>6</Type6>
<Category6>-1</Category6>
</ExcludeFilter>
<UseOptimizedEvaluation>0</UseOptimizedEvaluation>
<BacktestRangeType>0</BacktestRangeType>
<BacktestRangeLength>0</BacktestRangeLength>
<BacktestRangeFromDate>2025-12-01 00:00:00</BacktestRangeFromDate>
<BacktestRangeToDate>2025-12-31</BacktestRangeToDate>
<MarginRequirement>1</MarginRequirement>
<SameDayStops>0</SameDayStops>
<RoundLotSize>0</RoundLotSize>
<TickSize>0</TickSize>
<DrawdownPriceField>0</DrawdownPriceField>
<ReverseSignalForcesExit>1</ReverseSignalForcesExit>
<NoDefaultColumns>0</NoDefaultColumns>
<AllowSameBarExit>1</AllowSameBarExit>
<ExtensiveOptimizationWarning>1</ExtensiveOptimizationWarning>
<WaitForBackfill>0</WaitForBackfill>
<MaxRanked>4</MaxRanked>
<MaxTraded>1000</MaxTraded>
<MaxEntryRank>100</MaxEntryRank>
<PortfolioReportMode>0</PortfolioReportMode>
<MinShares>0.01</MinShares>
<SharpeRiskFreeReturn>5</SharpeRiskFreeReturn>
<PortfolioMode>0</PortfolioMode>
<PriceBoundCheck>1</PriceBoundCheck>
<AlignToReferenceSymbol>0</AlignToReferenceSymbol>
<ReferenceSymbol>^DJI</ReferenceSymbol>
<UPIRiskFreeReturn>5.4</UPIRiskFreeReturn>
<NBarStopMode>0</NBarStopMode>
<NBarStopValue>0</NBarStopValue>
<NBarStopReentryDelay>0</NBarStopReentryDelay>
<MaxLossStopReentryDelay>0</MaxLossStopReentryDelay>
<ProfitStopReentryDelay>0</ProfitStopReentryDelay>
<TrailingStopReentryDelay>0</TrailingStopReentryDelay>
<AddFutureBars>0</AddFutureBars>
<DistChartSpacing>5</DistChartSpacing>
<ProfitDistribution>1</ProfitDistribution>
<MAFEDistribution>1</MAFEDistribution>
<IndividualDetailedReports>0</IndividualDetailedReports>
<PortfolioReportTradeList>1</PortfolioReportTradeList>
<LimitTradeSizeAsPctVol>0</LimitTradeSizeAsPctVol>
<DisableSizeLimitWhenVolumeIsZero>1</DisableSizeLimitWhenVolumeIsZero>
<UsePrevBarEquityForPosSizing>0</UsePrevBarEquityForPosSizing>
<NBarStopHasPriority>0</NBarStopHasPriority>
<UseCustomBacktestProc>0</UseCustomBacktestProc>
<CustomBacktestProcFormulaPath/>
<MinPosValue>0</MinPosValue>
<MaxPosValue>0</MaxPosValue>
<ChartInterval>60</ChartInterval>
<DisableRuinStop>0</DisableRuinStop>
<OptTarget>CAR/MDD</OptTarget>
<WFMode>0</WFMode>
<GenerateReport>1</GenerateReport>
<MaxLongPos>0</MaxLongPos>
<MaxShortPos>0</MaxShortPos>
<SeparateLongShortRank>0</SeparateLongShortRank>
<TotalSymbolQty>11742</TotalSymbolQty>
<EnableUserReportCharts>1</EnableUserReportCharts>
<ChartWidth>800</ChartWidth>
<ChartHeight>480</ChartHeight>
<SettlementDelay>0</SettlementDelay>
<PortfolioReportSystemFormula>1</PortfolioReportSystemFormula>
<InterestRateSymbol/>
<MarginRate>0</MarginRate>
<IncludeBHStats>1</IncludeBHStats>
<BHSymbol>^DJI</BHSymbol>
<MCEnable>1</MCEnable>
<MCRuns>1000</MCRuns>
<MCPosSizeMethod>0</MCPosSizeMethod>
<MCPosSizeShares>100</MCPosSizeShares>
<MCPosSizeValue>1000</MCPosSizeValue>
<MCPosSizePctEquity>5</MCPosSizePctEquity>
<MCChartEquityCurves>1</MCChartEquityCurves>
<MCStrawBroomLines>0</MCStrawBroomLines>
<Scenario>0</Scenario>
<MCChartEquityScale>0</MCChartEquityScale>
<MCUseEquityChanges>0</MCUseEquityChanges>
<MCLogScaleFinalEquity>0</MCLogScaleFinalEquity>
<MCLogScaleDrawdown>0</MCLogScaleDrawdown>
<MCNegativeDrawdown>1</MCNegativeDrawdown>
<ISEnabled>1</ISEnabled>
<ISStartDate>2000-01-01</ISStartDate>
<ISEndDate>2004-01-01</ISEndDate>
<ISLastDate>2020-01-01</ISLastDate>
<ISStep>1</ISStep>
<ISStepUnit>3</ISStepUnit>
<ISAnchored>0</ISAnchored>
<ISLastUsesToday>1</ISLastUsesToday>
<OSEnabled>1</OSEnabled>
<OSStartDate>2004-01-01</OSStartDate>
<OSEndDate>2005-01-01</OSEndDate>
<OSLastDate>2021-01-01</OSLastDate>
<OSStep>1</OSStep>
<OSStepUnit>3</OSStepUnit>
<OSAnchored>0</OSAnchored>
<OSLastUsesToday>1</OSLastUsesToday>
<ExportCSVIncFormula>0</ExportCSVIncFormula>
</BacktestSettings>
</AmiBroker-Analysis>
nsm51
January 16, 2026, 5:27am
4
Try your tests again and see if you missed the settings in
default is 10%, 0 means no limit
jared
January 16, 2026, 2:31pm
5
Here is a screenshot of my Portfolio tab settings.
I also tried changing the "Limit trade size as % of entry bar volume" setting to 100 and to 0.00001. In both cases the backtest results do not exceed 2,200. I've changed it back to 0 and am still getting 2,200.
nsm51
January 16, 2026, 2:35pm
6
how many total symbols are there under the portfolio BT?
There is a policy that it might be hitting, AmiBroker stores only (2*MaxOpenPositions) top-ranked entry signals per bar ~2K(you set 1000) but I am not certain if this it.
jared
January 16, 2026, 2:46pm
7
There are 543 unique symbols in the backtest results.dropbox link to the csv backtest results .
jared
January 16, 2026, 2:56pm
8
I am running a licensed version of AmiBroker:
nsm51
January 16, 2026, 2:59pm
9
SetPositionSize(0.001, spsPercentOfEquity);
jared
January 16, 2026, 5:50pm
10
I've tested with another afl script. If I buy at different times, one trade per symbol per day, I can get more than 100 trades per day. I only hit the 100 limit when all of my entries are at the same Minute of the day.
The best I can tell, AmiBroker has an internal limit of 100 Trade Entries at the same Minute/Time, assuming 1 trade per symbol.
Can anyone prove my conclusion is incorrect?
mradtke
January 16, 2026, 6:05pm
11
I have never seen a “100 entry signals per bar” limit documented anywhere, so I think @Tomasz would have to speak to whether or not that is the case.
Tomasz
January 16, 2026, 11:30pm
12
No it doesn't have such limit. As always use Detailed Mode so report will tell you when and why trades are not entered.
1 Like
jared
January 17, 2026, 1:53am
13
Hmm, I can't reproduce the behavior anymore. The only new things I did since I was able to reproduce it last were reset my entire windows machine (I usually go weeks without restarting) and run the Detailed Log. When looking at the Detailed Log I saw it getting into more than 100 trades per day. I then ran the backtest and it returned 5,207. Maybe resetting my machine fixed it? Maybe running the Detailed Log fixed it? Maybe I did something else different that fixed it? I'm at a loss. I wish I knew what caused it.
Either way, thank you so much for all the help! If I run into it again I'll try to pinpoint what fixes it for me and let you know.
Thanks!
