bars since entry in QS language?

bars since entry in QS language?

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BWBerg
2015-01-13 10:01:13

How to count the number of bars since entry of a long or short position in QS language?

thks

BWBerg
2015-01-13 10:05:23

Sorry ... should have searched before posting...

Looks like this is my answer:

barssince(buy)

Kyra Packens
2015-01-15 03:32:53

I believe that barssince(buy) will gives you the number of bars since your last buy _signal_, but that isn't necessarily the number of bars since a position was entered. If you need to know that (eg, to keep your system from exiting a position before N bars pass) you will need to use an advanced money management script.

Good news though -- I think I read somewhere that exposing position status in the QS language for simulations is on the short list of things to implement.

QuantShare
2015-01-15 05:07:46

Yes, this was the function you are looking for.

Kiran
2016-03-19 13:05:30

So reg the issue Kyra raised above, if i have only 1 position per symbol (no pyramiding), will barssince(buy) in Quantscript measure the position hold time for the symbol being evaluated in the backtest? Want to avoid writing MM for this simple function if i can.

QuantShare
2016-03-21 03:46:43

It would work only in certain cases. This is because the QS formula is used to generate signals but the real backtesting (entering/selling positions) is occurring after that. So you could get the number of bars since the "buy" rule was true but depending on your formula, that "buy" signal may or may not have been used by the backtester.

Kiran
2016-04-13 13:38:00

I have a simple timing script on 1 symbol (SPY) that Buys when Price>SMA, Sells 10 days later.
It doesn't seem to execute the barssince(buy)>10; correctly, because the Trades tab shows positions are held for 4-6 weeks (variable time periods).
- why isn't the barssince(buy)>10 work correctly in this scenario?

/// script
Optimize("fastper", 5,75,10);
Optimize("slowper", 50,200,25);
Optimize("holdper",10,30,10);

Buy = (Close > SMA(Close,fastper) && Close > SMA(Close,slowper));
Sell = barssince(buy)>holdper;
//Sell = (Close < SMA(Close,fastper) || Close < SMA(Close,slowper)) && barssince(buy)>holdper;

QuantShare
2016-04-14 04:35:04

Because each time the "buy" is true, the "barssince(buy)" counts bars since that new "buy" bar. Just plot it in a chart and you will better understand. If there is a "buy" signal every 5 bars then the position will never exit.

It is important to understand that QS formulas are used to generate buy/sell signals only. After that the simulator will perform a true-portfolio backtest using these signals. Therefore you cannot reference a trade in a QS formula because they do not exist yet.

In your example, you can replace the sell rule by an N-bar stop loss.

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