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Antonio,
As I wrote in my previous response: you delay PRICE arrays
which must NOT be done.
The OPEN price for AA on January 6, 2003 is
23.95
Your code uses
BuyPrice = Ref( Open, -1 )
so it effectivelly delay OPEN Price one bar so
Buyprice on Jan 7 becomes 23.95 (yesterdays open)
and this is WRONG. because on Jan 7 the open price is
24.40.
What's more backtester checks if BuyPrice is within current
bar H-L range.
and... it isn't because Low of Jan 7 was 24.10 therefore it
readjust the buyprice to fit REAL TRADING RANGE:
As written in the TUTORIAL: Backtesting your trading
ideas
"During back-testing AmiBroker will check
if the values you assigned to buyprice, sellprice, shortprice, coverprice fit
into high-low range of given bar. If not, AmiBroker will adjust it to high price
(if price array value is higher than high) or to the low price (if price array
value is lower than low)"
Therefore your code should look like this:
<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" size=1><SPAN lang=EN-GB
>;
<FONT face="Courier New"
size=1><SPAN lang=EN-GB
>
<FONT face="Courier New"
size=2><SPAN lang=EN-GB
>/*
NEVER DELAY PRICE ARRAYS !!!!!!!!!!!!!!!!!!!! */
<FONT
face="Courier New"><SPAN lang=EN-GB
>/*
<SPAN lang=EN-GB
>BuyPrice<FONT
face="Courier New"><SPAN lang=EN-GB
> =
<SPAN lang=EN-GB
>Ref<FONT
face="Courier New"><SPAN lang=EN-GB
>(<FONT
face="Courier New"><SPAN lang=EN-GB
>O<FONT
face="Courier New"><SPAN lang=EN-GB
>,Buy_Delay);
*/
<FONT
face="Courier New"><SPAN lang=EN-GB
>/*
<SPAN lang=EN-GB
>SellPrice<FONT
face="Courier New"><SPAN lang=EN-GB
> =
<SPAN lang=EN-GB
>Ref<FONT
face="Courier New"><SPAN lang=EN-GB
>(<FONT
face="Courier New"><SPAN lang=EN-GB
>C<FONT
face="Courier New"><SPAN lang=EN-GB
>,Sell_Delay);
*/
<FONT face="Courier New"
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;
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 8:24
PM
Subject: Re: [amibroker] SetTradeDelay
& exploration-backtesting different results
<SPAN lang=EN-GB
>Hello Tomasz,
<SPAN lang=EN-GB
>
<SPAN lang=EN-GB
>You are clear as
usual.
<SPAN lang=EN-GB
>I beg your pardon for wasting your
time,
<SPAN lang=EN-GB
>
<SPAN lang=EN-GB
>But the question
is:
<SPAN lang=EN-GB
>running exploration (the code I
posted) the AA give me a signal and respective open price for the next bar
(day),
<SPAN lang=EN-GB
>i.e., on <FONT
face=Arial size=2><SPAN lang=EN-GB
>06/01/2003<FONT
face=Arial size=2><SPAN lang=EN-GB
> there is a “signal” and the buy
price at open for the next bar is 17.91
<SPAN lang=EN-GB
>
<SPAN lang=EN-GB
>Why does the backtester show me a
“buy price” at open on <SPAN lang=EN-GB
>07/01/2003<FONT
face=Arial size=2><SPAN lang=EN-GB
> (the right delay) at 18.25 (?)
and not 17.91 (the right open price)?
<SPAN lang=EN-GB
>The same thing happens for the
exit price.
<SPAN lang=EN-GB
>
<SPAN lang=EN-GB
>Thanks again
<SPAN lang=EN-GB
>
<SPAN lang=EN-GB
>Best regard
<SPAN lang=EN-GB
>Antonio
<SPAN lang=EN-GB
> Send
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