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I have noticed a problem with the way equity is plotted after
a Back Test run. It seems that the equity plot starts moving away from the
initial value only after the first buy or sell subsequent to the starting date
of the test run, rather than at the start (with delay set to 0). Here is
the code for the equity line for a simple moving average cross-over trading
system which I am running from 2/23/2001 to
7/10/2003.-----------------------------------------------------------------------SetTradeDelays(0,0,0,0);ApplyStop(0,0,0,0);
ApplyStop(1,0,0,0);
ApplyStop(2,0,0,0);BuyPrice=SellPrice=ShortPrice=CoverPrice=C;
Buy = Cross(Close, (1 + 0.002)*EMA(Close, 40));Sell =
Cross((1 - 0.002)*EMA(Close, 40), Close);
Short = Sell; Cover = Buy;Buy =
ExRem(Buy,Sell); Sell = ExRem(Sell, Buy); Short = ExRem(Short, Cover); Cover
= ExRem(Cover, Short);
/**///--equity-plot-- do not remove this
lineMaxGraph=0;GraphXSpace=5;GraphZOrder=1;Plot( Equity( 0, -2 ),
"Equity", 1, styleArea );
/* now buy and hold simulation
*/Short=Cover=0;Buy=Status("firstbarintest");Sell=Status("lastbarintest");SetTradeDelays(0,0,0,0);
PositionSize =
-100;ApplyStop(0,0,0,0);ApplyStop(1,0,0,0);ApplyStop(2,0,0,0);Plot(
Equity( 0, -2 ), "Buy&Hold",
0);------------------------------------------------------------------------On
the attached plot (sorry about using JPG, but I couldn't get the detail to show
well enough in a PNG), the bottom panel shows the Equity Plot and the middle
panel shows the trading code run in IB with arrows added to indicate the Buys
and Sells. Note that with the test starting at the pole, 2/23/2001, which is a
few days after a Sell, the Equity does not start following the price line until
after the next subsequent signal, 37 days later on 4/18/2001. Also, the results
window at the bottom of AA shows the Trade to be "Out" until 4/18/2001, at which
time it goes to "Long."
I have made a fairly complicated work-around, but I am
thinking that I must have something wrong; surely AB should start the
equity calculation and plot right away. Any help or comment
appreciated.
Bill
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