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Steve,
1. Total net profit reported by AmiBroker INCLUDES
open position profit/loss.
(you may see this using this very simple code: <FONT
face="Courier New" size=1>
Buy=<FONT
face="Courier New" color=#0000ff size=1>Cum<FONT face="Courier New"
size=1>(1<FONT
face="Courier New" size=1>)==<FONT face="Courier New" color=#0000ff
size=1>LastValue(<FONT
face="Courier New" color=#0000ff size=1>Cum<FONT face="Courier New"
size=1>(1<FONT
face="Courier New" size=1>))-<FONT face="Courier New" color=#ff00ff
size=1>10;
Sell=0<FONT
face="Courier New" size=1>;
)
(this will
generate one open long pos)
<FONT
face="Courier New" size=1>The ONLY difference is that
the profit/loss of open position is calculated so that only ENTRY commission
istaken. That's why you get the difference of your commission size if you
are closing your open position from thecode - then also an EXIT commission
is included and this amounts for the difference.<FONT
face="Courier New" size=1>
2. Yes in case of reversal commission is taken to close
existing pos and another one to open a reverse pos.
Best regards,Tomasz Janeczkoamibroker.com
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Steve Dugas
To: <A title=amibroker@xxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Monday, April 22, 2002 6:45
AM
Subject: [amibroker] gain / loss from
trades on last bar?
Hi Tomasz and all,
I was backtesting a system. I decided that I wanted to
close out any open position on the last bar of the test so that
total profit and other report statistics would reflect the most current
status. So I added the following "OR" condition to my sell and cover
statements:
sell /cover = (original condition) OR Ref(Cum(1),1)==
LastValue(Cum(1));
(Since the system trades on a 1 day delay, I had to trigger
the signal on the next-to-last bar by looking forward 1 bar)
Now the backtester closes out my position on
the final day, but the gain/loss from that final trade is not
reflected in many of the items on the report.
Here is one example:
<FONT
size=2>
original test same test
with open position closed out on last bar
<FONT
size=2>
----------------
----------------------------------------------------------------------
open position
-270
0 ($270 difference)
total net profit
-2534
-2544 (only $10 difference)
The $10 difference in total profit is because I had my
commisions set to $10 per trade, so this is the commision for the additional
trade on the last bar. When I changed my commision to $5 per trade to test it,
the difference changed to $5. Did I find a bug, or is it
because of the way I did this? Do you know of any workaround? Thank
you!
Steve
PS - I noticed one other thing that I havent seen anyone
mention yet, and I thought it might be useful to mention for people that pay
points for commisions. The system I was testing is a reversal system (always
in the market). So if I am long, it sells and then goes short at the same
time. If I am short, it covers and buys at the same time. The
backtester charges 2 commisions each time this happens, which makes
sense because technically I am doing 2 trades, but I think
that given this situation in real life, this could often be done for the price
of one commision (i.e. - I am long 1000 shares, I get a signal to reverse
positions, so I put in one order to sell 2000 shares). I suppose
it depends on how your broker operates - I believe that my broker, in
this situation, would automatically sell my 1000 shares and then short another
1000. Anyway, I just thought people should be aware - in this type
of system, if you pay points, you may get more realistic results if
you enter only half your true commision in the settings, in order to
compensate. Your
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