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[amibroker] SetTradeDelay & exploration-backtesting different results

To: <amibroker@xxxxxxxxxxxxxxx>
Subject: [amibroker] SetTradeDelay & exploration-backtesting different results
From: "Antonio Marra" <ant.marra65@xxxxxx>
Date: Tue, 11 Mar 2003 08:21:39 -0800
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<font size=3
face="Times New Roman">Hello,

<font size=3
face="Times New Roman"> 

<font size=3
face="Times New Roman">I found useful
the code posted by Graham with the message 30344, so I have used a part of it
for testing and verify how &#8220;<font size=2 color=blue
face="Courier New">SetTradeDelay() function&#8221;
works.

<font size=3
face="Times New Roman">Well, starting
an exploration it give me a right buy and sell price in the "results"
window, but the backtesting don't give the same results: the buy and sell
prices don't correspond.  

<font size=3
face="Times New Roman">This is the
code I used (tested on one single stock [BRCM], from 01/01/2003 to 31/01/2003):

<font size=2
face="Courier New"> 

<font size=1
color=green face="Courier New">//Filter= Buy=Cross(C,EMA(C,10)) OR
Cross(EMA(C,10),C);

<font size=1
color=darkred face="Courier New">Filter<font size=1
color=black face="Courier New">= <font size=1
color=darkred face="Courier New">Buy<font size=1
color=black face="Courier New">=<font size=1 color=blue
face="Courier New">DayOfWeek<span
lang=EN-GB >()==<font
size=1 color="#ff6820" face="Courier New">1<font
size=1 color=black face="Courier New"> <font size=1
color=darkred face="Courier New">OR<font size=1
color=black face="Courier New"> <font size=1
color=darkred face="Courier New">Sell<font size=1
color=black face="Courier New">=<font size=1 color=blue
face="Courier New">DayOfWeek<span
lang=EN-GB >()==<font
size=1 color="#ff6820" face="Courier New">1<font
size=1 color=black face="Courier New">;

<font size=1
color=black face="Courier New"> 

<font size=1
color=blue face="Courier New">AddColumn<font size=1
color=black face="Courier New">(<font size=1
color=darkred face="Courier New">O<font size=1
color=black face="Courier New">,<font size=1
color=fuchsia face="Courier New">"Open"<font
size=1 color=black face="Courier New">,<font size=1
color="#ff6820" face="Courier New">1.2<font
size=1 color=black face="Courier New">);

<font size=1
color=blue face="Courier New">AddColumn<font size=1
color=black face="Courier New">(<font size=1
color=darkred face="Courier New">C<font size=1
color=black face="Courier New">,<font size=1
color=fuchsia face="Courier New">"Close"<font
size=1 color=black face="Courier New">,<font size=1
color="#ff6820" face="Courier New">1.2<font
size=1 color=black face="Courier New">);

<font size=1
color=blue face="Courier New">AddColumn<font size=1
color=black face="Courier New">(<font size=1
color=darkred face="Courier New">O<font size=1
color=black face="Courier New">,<font size=1
color=fuchsia face="Courier New">"Buy"<font
size=1 color=black face="Courier New">,<font size=1
color="#ff6820" face="Courier New">1.2<font
size=1 color=black face="Courier New">);

<font size=1
color=blue face="Courier New">AddColumn<font size=1
color=black face="Courier New">(<font size=1
color=darkred face="Courier New">C<font size=1
color=black face="Courier New">,<font size=1
color=fuchsia face="Courier New">"Sell"<font
size=1 color=black face="Courier New">,<font size=1
color="#ff6820" face="Courier New">1.2<font
size=1 color=black face="Courier New">);

<font size=1
color=black face="Courier New"> 

<font size=1
color=green face="Courier New">//DELAY manual setting

<font size=1
color=black face="Courier New">Buy_Delay   = <font
size=1 color="#ff6820" face="Courier New">1<font
size=1 color=black face="Courier New">;

<font size=1
color=black face="Courier New">Sell_Delay  = <font
size=1 color="#ff6820" face="Courier New">2<font
size=1 color=black face="Courier New">;

<font size=1
color=black face="Courier New">Short_Delay = <font
size=1 color="#ff6820" face="Courier New">1<font
size=1 color=black face="Courier New">;

<font size=1
color=black face="Courier New">Cover_Delay = <font
size=1 color="#ff6820" face="Courier New">1<font
size=1 color=black face="Courier New">;

<font size=1
color=blue face="Courier New">SetTradeDelays<font size=1
color=black face="Courier New">(Buy_Delay, Sell_Delay, Short_Delay,
Cover_Delay);

<font size=1
color=black face="Courier New"> 

<font size=1
color=green face="Courier New">//Buy=Cross(C,EMA(C,10)); 

<font size=1
color=green face="Courier New">//Sell=Cross(EMA(C,10),C); 

<font size=1
color=darkred face="Courier New">Buy<font size=1
color=black face="Courier New">=<font size=1 color=blue
face="Courier New">DayOfWeek<span
lang=EN-GB >()==<font
size=1 color="#ff6820" face="Courier New">1<font
size=1 color=black face="Courier New">;

<font size=1
color=darkred face="Courier New">Sell<font size=1
color=black face="Courier New">=<font size=1 color=blue
face="Courier New">DayOfWeek<span
lang=EN-GB >()==<font
size=1 color="#ff6820" face="Courier New">1<font
size=1 color=black face="Courier New">;

<font size=1
color=black face="Courier New"> 

<font size=1
color=darkred face="Courier New">BuyPrice<font size=1
color=black face="Courier New"> = <font size=1
color=blue face="Courier New">Ref<font size=1
color=black face="Courier New">(<font size=1
color=darkred face="Courier New">O<font size=1
color=black face="Courier New">,Buy_Delay);

<font size=1
color=darkred face="Courier New">SellPrice<font size=1
color=black face="Courier New"> = <font size=1
color=blue face="Courier New">Ref<font size=1
color=black face="Courier New">(<font size=1
color=darkred face="Courier New">C<font size=1
color=black face="Courier New">,Sell_Delay);

<font size=1
color=black face="Courier New"> 

<font size=1
color=blue face="Courier New">AddColumn<font size=1
color=black face="Courier New">(Buy_Delay,<font size=1
color=fuchsia face="Courier New">"Buy Delay"<font
size=1 color=black face="Courier New">,<font size=1
color="#ff6820" face="Courier New">1.0<font
size=1 color=black face="Courier New">);

<font size=1
color=blue face="Courier New">AddColumn<font size=1
color=black face="Courier New">(<font size=1 color=blue
face="Courier New">IIf<span
lang=EN-GB >(<font
size=1 color=darkred face="Courier New">Buy<font size=1
color=black face="Courier New">==<font size=1
color="#ff6820" face="Courier New">1<font
size=1 color=black face="Courier New">,<font size=1
color=darkred face="Courier New">BuyPrice<font size=1
color=black face="Courier New">,<font size=1
color="#ff6820" face="Courier New">0<font
size=1 color=black face="Courier New">),<font size=1
color=fuchsia face="Courier New">"Delayed Buy Price"<font
size=1 color=black face="Courier New">,<font size=1
color="#ff6820" face="Courier New">1.2<font
size=1 color=black face="Courier New">);

<font size=1
color=blue face="Courier New">AddColumn<font size=1
color=black face="Courier New">(Sell_Delay,<font size=1
color=fuchsia face="Courier New">"Sell Delay"<font
size=1 color=black face="Courier New">,<font size=1
color="#ff6820" face="Courier New">1.0<font
size=1 color=black face="Courier New">);

<font size=1
color=blue face="Courier New">AddColumn<font size=1
color=black face="Courier New">(<font size=1 color=blue
face="Courier New">IIf<span
lang=EN-GB >(<font
size=1 color=darkred face="Courier New">Sell<font size=1
color=black face="Courier New">==<font size=1
color="#ff6820" face="Courier New">1<font
size=1 color=black face="Courier New">,<font size=1
color=darkred face="Courier New">SellPrice<font size=1
color=black face="Courier New">,<font size=1
color="#ff6820" face="Courier New">0<font
size=1 color=black face="Courier New">),<font size=1
color=fuchsia face="Courier New">"Delayed Sell Price"<font
size=1 color=black face="Courier New">,<font size=1
color="#ff6820" face="Courier New">1.2<font
size=1 color=black face="Courier New">);

<span
lang=EN-GB > 

<span
lang=EN-GB > 

<font size=3
face="Times New Roman">Then, if I
change these conditions

<span
lang=EN-GB > 

<span
lang=EN-GB >     
Buy = DayOfWeek()==1;

<span
lang=EN-GB >     
Sell= DayOfWeek()==1;

<span
lang=EN-GB > 

<font size=3
face="Times New Roman">with these
ones

<span
lang=EN-GB > 

<span
lang=EN-GB >     
Buy=Cross(C,EMA(C,10));  

<span
lang=EN-GB >     
Sell=Cross(EMA(C,10),C);

<span
lang=EN-GB > 

<font size=3
face="Times New Roman">both the exploration
and the backtesting seem to work.

<font size=3
face="Times New Roman">What I'm doing
wrong ?

<font size=3
face="Times New Roman"> 

<font size=3
face="Times New Roman">Thanks for
your valuable help.

<font size=3
face="Times New Roman"> 

<font size=3
face="Times New Roman">Best <span
lang=EN-GB>Regards

<font size=3
face="Times New Roman">Antonio

 










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