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Stephane,
No this is not true. The difference Steve gets comes from the fact that
for open positions EXIT commission is NOT taken.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "nenapacwanfr" <nenapacwanfr@xxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Monday, April 22, 2002 10:01 PM
Subject: [amibroker] Re: gain / loss from trades on last bar?
> Hi,
>
> I don'y know if it is a answer for you BBUT,
> Tomasz must compute the gain with:
> Capital* (exitPrc/entryPrc)-2*cost-capital
> ( I have done a verification on the trade report)
>
> for me ( and perhaps others)I prefer to compute the gain with
> (capital-cost)* (exitPrc/entryPrc)- cost - capital
>
> it is a small difference, but it can explain some difference in last
> bar results.
>
> stephane
>
>
>
> > 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:
> >
> > original test same test with
> open position closed out on last bar
> > ---------------- ------------
> ----------------------------------------------------------
> > 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 use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
>
>
>
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