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Hello,
1. SetTradeDelay is FOR BACKTESTER, not for
exploration.
2. Also you must not delay PRICES. Ref( buyprice, something )
is wrong. Only signal can be delayed.
3. Ref( ) with positive shift references FUTURE not past. The
delay can be coded usign Ref( array, -1 ).
Ref( array, 1 ) is incorrect.
The intention is as follows:
your EOD system generates signals using close
price.
You run this after trading session close. Via SCAN/EXPLORATION
you get signals TODAYs evening so you can
place it for tommorrows open.
BUT...
for the BACKTESTING you need to SetTradeDelays( 1, 1, 1,
1)
so backtester trades on next bar OPEN price (as you trade in
reality).
This way SINGLE formula can work BOTH for scan and backtest
without need to modify anything.
Just run SCAN / EXPLORE and you get SIGNALS TODAY to place
order FOR TOMMORROW.
and you run BACKTEST and it trades next bar (as in
reality)
Best regards,Tomasz
Janeczkoamibroker.com
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Antonio Marra
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Tuesday, March 11, 2003 5:21
PM
Subject: [amibroker] SetTradeDelay &
exploration-backtesting different results
<SPAN lang=EN-GB
>Hello,
<SPAN lang=EN-GB
>
<SPAN lang=EN-GB
>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
“<SPAN lang=EN-GB
>SetTradeDelay()
function” works.
<SPAN lang=EN-GB
>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.
<SPAN lang=EN-GB
>This is the code I used (tested on one single stock
[BRCM], from 01/01/2003 to 31/01/2003):
<FONT face="Courier New"
size=2><SPAN lang=EN-GB
>
<FONT face="Courier New"
color=green size=1><SPAN lang=EN-GB
>//Filter=
Buy=Cross(C,EMA(C,10)) OR Cross(EMA(C,10),C);
<FONT face="Courier New"
color=darkred size=1><SPAN lang=EN-GB
>Filter<FONT
face="Courier New" color=black size=1><SPAN lang=EN-GB
>=
<SPAN lang=EN-GB
>Buy<FONT
face="Courier New" color=black size=1><SPAN lang=EN-GB
>=<FONT
face="Courier New" color=blue size=1><SPAN lang=EN-GB
>DayOfWeek<FONT
face="Courier New" color=black size=1><SPAN lang=EN-GB
>()==<FONT
face="Courier New" color=#ff6820 size=1><SPAN lang=EN-GB
>1<FONT
face="Courier New" color=black size=1><SPAN lang=EN-GB
>
<SPAN lang=EN-GB
>OR<FONT
face="Courier New" color=black size=1><SPAN lang=EN-GB
>
<SPAN lang=EN-GB
>Sell<FONT
face="Courier New" color=black size=1><SPAN lang=EN-GB
>=<FONT
face="Courier New" color=blue size=1><SPAN lang=EN-GB
>DayOfWeek<FONT
face="Courier New" color=black size=1><SPAN lang=EN-GB
>()==<FONT
face="Courier New" color=#ff6820 size=1><SPAN lang=EN-GB
>1<FONT
face="Courier New" color=black size=1><SPAN lang=EN-GB
>;
<FONT face="Courier New"
color=black size=1><SPAN lang=EN-GB
>
<FONT face="Courier New"
color=blue size=1><SPAN lang=EN-GB
>AddColumn<FONT
face="Courier New" color=black size=1><SPAN lang=EN-GB
>(<FONT
face="Courier New" color=darkred size=1><SPAN lang=EN-GB
>O<FONT
face="Courier New" color=black size=1><SPAN lang=EN-GB
>,<FONT
face="Courier New" color=fuchsia size=1><SPAN lang=EN-GB
>"Open"<FONT
face="Courier New" color=black size=1><SPAN lang=EN-GB
>,<FONT
face="Courier New" color=#ff6820 size=1><SPAN lang=EN-GB
>1.2<FONT
face="Courier New" color=black size=1><SPAN lang=EN-GB
>);
<FONT face="Courier New"
color=blue size=1><SPAN lang=EN-GB
>AddColumn<FONT
face="Courier New" color=black size=1><SPAN lang=EN-GB
>(<FONT
face="Courier New" color=darkred size=1><SPAN lang=EN-GB
>C<FONT
face="Courier New" color=black size=1><SPAN lang=EN-GB
>,<FONT
face="Courier New" color=fuchsia size=1><SPAN lang=EN-GB
>"Close"<FONT
face="Courier New" color=black size=1><SPAN lang=EN-GB
>,<FONT
face="Courier New" color=#ff6820 size=1><SPAN lang=EN-GB
>1.2<FONT
face="Courier New" color=black size=1><SPAN lang=EN-GB
>);
<FONT face="Courier New"
color=blue size=1><SPAN lang=EN-GB
>AddColumn<FONT
face="Courier New" color=black size=1><SPAN lang=EN-GB
>(<FONT
face="Courier New" color=darkred size=1><SPAN lang=EN-GB
>O<FONT
face="Courier New" color=black size=1><SPAN lang=EN-GB
>,<FONT
face="Courier New" color=fuchsia size=1><SPAN lang=EN-GB
>"Buy"<FONT
face="Courier New" color=black size=1><SPAN lang=EN-GB
>,<FONT
face="Courier New" color=#ff6820 size=1><SPAN lang=EN-GB
>1.2<FONT
face="Courier New" color=black size=1><SPAN lang=EN-GB
>);
<FONT face="Courier New"
color=blue size=1><SPAN lang=EN-GB
>AddColumn<FONT
face="Courier New" color=black size=1><SPAN lang=EN-GB
>(<FONT
face="Courier New" color=darkred size=1><SPAN lang=EN-GB
>C<FONT
face="Courier New" color=black size=1><SPAN lang=EN-GB
>,<FONT
face="Courier New" color=fuchsia size=1><SPAN lang=EN-GB
>"Sell"<FONT
face="Courier New" color=black size=1><SPAN lang=EN-GB
>,<FONT
face="Courier New" color=#ff6820 size=1><SPAN lang=EN-GB
>1.2<FONT
face="Courier New" color=black size=1><SPAN lang=EN-GB
>);
<FONT face="Courier New"
color=black size=1><SPAN lang=EN-GB
>
<FONT face="Courier New"
color=green size=1><SPAN lang=EN-GB
>//DELAY
manual setting
<FONT face="Courier New"
color=black size=1><SPAN lang=EN-GB
>Buy_Delay
= <SPAN
lang=EN-GB
>1<FONT
face="Courier New" color=black size=1><SPAN lang=EN-GB
>;
<FONT face="Courier New"
color=black size=1><SPAN lang=EN-GB
>Sell_Delay
= <SPAN
lang=EN-GB
>2<FONT
face="Courier New" color=black size=1><SPAN lang=EN-GB
>;
<FONT face="Courier New"
color=black size=1><SPAN lang=EN-GB
>Short_Delay =
<SPAN
lang=EN-GB
>1<FONT
face="Courier New" color=black size=1><SPAN lang=EN-GB
>;
<FONT face="Courier New"
color=black size=1><SPAN lang=EN-GB
>Cover_Delay =
<SPAN
lang=EN-GB
>1<FONT
face="Courier New" color=black size=1><SPAN lang=EN-GB
>;
<FONT face="Courier New"
color=blue size=1><SPAN lang=EN-GB
>SetTradeDelays<FONT
face="Courier New" color=black size=1><SPAN lang=EN-GB
>(Buy_Delay,
Sell_Delay, Short_Delay, Cover_Delay);
<FONT face="Courier New"
color=black size=1><SPAN lang=EN-GB
>
<FONT face="Courier New"
color=green size=1><SPAN lang=EN-GB
>//Buy=Cross(C,EMA(C,10));
<FONT face="Courier New"
color=green size=1><SPAN lang=EN-GB
>//Sell=Cross(EMA(C,10),C);
<FONT face="Courier New"
color=darkred size=1><SPAN lang=EN-GB
>Buy<FONT
face="Courier New" color=black size=1><SPAN lang=EN-GB
>=<FONT
face="Courier New" color=blue size=1><SPAN lang=EN-GB
>DayOfWeek<FONT
face="Courier New" color=black size=1><SPAN lang=EN-GB
>()==<FONT
face="Courier New" color=#ff6820 size=1><SPAN lang=EN-GB
>1<FONT
face="Courier New" color=black size=1><SPAN lang=EN-GB
>;
<FONT face="Courier New"
color=darkred size=1><SPAN lang=EN-GB
>Sell<FONT
face="Courier New" color=black size=1><SPAN lang=EN-GB
>=<FONT
face="Courier New" color=blue size=1><SPAN lang=EN-GB
>DayOfWeek<FONT
face="Courier New" color=black size=1><SPAN lang=EN-GB
>()==<FONT
face="Courier New" color=#ff6820 size=1><SPAN lang=EN-GB
>1<FONT
face="Courier New" color=black size=1><SPAN lang=EN-GB
>;
<FONT face="Courier New"
color=black size=1><SPAN lang=EN-GB
>
<FONT face="Courier New"
color=darkred size=1><SPAN lang=EN-GB
>BuyPrice<FONT
face="Courier New" color=black size=1><SPAN lang=EN-GB
> =
<SPAN lang=EN-GB
>Ref<FONT
face="Courier New" color=black size=1><SPAN lang=EN-GB
>(<FONT
face="Courier New" color=darkred size=1><SPAN lang=EN-GB
>O<FONT
face="Courier New" color=black size=1><SPAN lang=EN-GB
>,Buy_Delay);
<FONT face="Courier New"
color=darkred size=1><SPAN lang=EN-GB
>SellPrice<FONT
face="Courier New" color=black size=1><SPAN lang=EN-GB
> =
<SPAN lang=EN-GB
>Ref<FONT
face="Courier New" color=black size=1><SPAN lang=EN-GB
>(<FONT
face="Courier New" color=darkred size=1><SPAN lang=EN-GB
>C<FONT
face="Courier New" color=black size=1><SPAN lang=EN-GB
>,Sell_Delay);
<FONT face="Courier New"
color=black size=1><SPAN lang=EN-GB
>
<FONT face="Courier New"
color=blue size=1><SPAN lang=EN-GB
>AddColumn<FONT
face="Courier New" color=black size=1><SPAN lang=EN-GB
>(Buy_Delay,<FONT
face="Courier New" color=fuchsia size=1><SPAN lang=EN-GB
>"Buy
Delay"<SPAN
lang=EN-GB
>,<FONT
face="Courier New" color=#ff6820 size=1><SPAN lang=EN-GB
>1.0<FONT
face="Courier New" color=black size=1><SPAN lang=EN-GB
>);
<FONT face="Courier New"
color=blue size=1><SPAN lang=EN-GB
>AddColumn<FONT
face="Courier New" color=black size=1><SPAN lang=EN-GB
>(<FONT
face="Courier New" color=blue size=1><SPAN lang=EN-GB
>IIf<FONT
face="Courier New" color=black size=1><SPAN lang=EN-GB
>(<FONT
face="Courier New" color=darkred size=1><SPAN lang=EN-GB
>Buy<FONT
face="Courier New" color=black size=1><SPAN lang=EN-GB
>==<FONT
face="Courier New" color=#ff6820 size=1><SPAN lang=EN-GB
>1<FONT
face="Courier New" color=black size=1><SPAN lang=EN-GB
>,<FONT
face="Courier New" color=darkred size=1><SPAN lang=EN-GB
>BuyPrice<FONT
face="Courier New" color=black size=1><SPAN lang=EN-GB
>,<FONT
face="Courier New" color=#ff6820 size=1><SPAN lang=EN-GB
>0<FONT
face="Courier New" color=black size=1><SPAN lang=EN-GB
>),<FONT
face="Courier New" color=fuchsia size=1><SPAN lang=EN-GB
>"Delayed
Buy Price"<SPAN
lang=EN-GB
>,<FONT
face="Courier New" color=#ff6820 size=1><SPAN lang=EN-GB
>1.2<FONT
face="Courier New" color=black size=1><SPAN lang=EN-GB
>);
<FONT face="Courier New"
color=blue size=1><SPAN lang=EN-GB
>AddColumn<FONT
face="Courier New" color=black size=1><SPAN lang=EN-GB
>(Sell_Delay,<FONT
face="Courier New" color=fuchsia size=1><SPAN lang=EN-GB
>"Sell
Delay"<SPAN
lang=EN-GB
>,<FONT
face="Courier New" color=#ff6820 size=1><SPAN lang=EN-GB
>1.0<FONT
face="Courier New" color=black size=1><SPAN lang=EN-GB
>);
<FONT face="Courier New"
color=blue size=1><SPAN lang=EN-GB
>AddColumn<FONT
face="Courier New" color=black size=1><SPAN lang=EN-GB
>(<FONT
face="Courier New" color=blue size=1><SPAN lang=EN-GB
>IIf<FONT
face="Courier New" color=black size=1><SPAN lang=EN-GB
>(<FONT
face="Courier New" color=darkred size=1><SPAN lang=EN-GB
>Sell<FONT
face="Courier New" color=black size=1><SPAN lang=EN-GB
>==<FONT
face="Courier New" color=#ff6820 size=1><SPAN lang=EN-GB
>1<FONT
face="Courier New" color=black size=1><SPAN lang=EN-GB
>,<FONT
face="Courier New" color=darkred size=1><SPAN lang=EN-GB
>SellPrice<FONT
face="Courier New" color=black size=1><SPAN lang=EN-GB
>,<FONT
face="Courier New" color=#ff6820 size=1><SPAN lang=EN-GB
>0<FONT
face="Courier New" color=black size=1><SPAN lang=EN-GB
>),<FONT
face="Courier New" color=fuchsia size=1><SPAN lang=EN-GB
>"Delayed
Sell Price"<SPAN
lang=EN-GB
>,<FONT
face="Courier New" color=#ff6820 size=1><SPAN lang=EN-GB
>1.2<FONT
face="Courier New" color=black size=1><SPAN lang=EN-GB
>);
<SPAN lang=EN-GB
>
<SPAN lang=EN-GB
>
<SPAN lang=EN-GB
>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
>
<SPAN lang=EN-GB
>with these ones
<SPAN lang=EN-GB
>
<SPAN lang=EN-GB
>
Buy=Cross(C,EMA(C,10));
<SPAN lang=EN-GB
>
<SPAN
>Sell=Cross(EMA(C,10),C);
<SPAN lang=EN-GB
>
<SPAN lang=EN-GB
>both the exploration and the backtesting seem to
work.
<SPAN lang=EN-GB
>What I'm doing wrong ?
<SPAN lang=EN-GB
>
<SPAN lang=EN-GB
>Thanks for your valuable help.
<SPAN lang=EN-GB
>
<SPAN
>Best Regards
<SPAN
>Antonio
<SPAN
> Send
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