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Hello,
It is described in the User's Guide: System test settings
window
Allow position
size shrinking
If you mark this box AmiBroker will shrink down <FONT
color=#ffffff>positions if available
equity is less than requested <FONT
color=#ffffff>position size (via PositionSize variable). If this box is
unmarked positions
will not be entered in such case.
It means: you request the postion of 7500 dollars by saying
PositionSize = 7500, now suppose that because of previous loosing
trades your equity dropped below 7500.
Then suppose that this box is UNchecked then AmiBroker will NOT enter the
position if you don't have enough funds
If this box is checked it WILL enter the position but the size of position
will be equal to equity minus commission (instead of requested 7500)
PositionSize is determined on trade by trade basis.
System test settings window
Here you can define the following parameters of back-testing:
General tab
Initial equity - defines the <FONT
color=#ffffff>size of your account. Please note that in multiple security
backtest it is per-symbol equity value
Positions
considered (long, short, both long and short)
Futures mode
This check box in the settings page is the key to backtesting futures. It
instructs backtester to use margin deposit and point value in calculations.
Margin requirement
This setting defines percentage margin requirement for entire account. The
default value of Margin requirement is 100. This means that you have to provide
100% funds to enter the trade, and this is the way how backtester worked in
previous versions. But now you can simulate a margin account. When you buy on
margin you are simply borrowing money from your broker to buy stock. With
current regulations you can put up 50% of the purchase price of the stock you
wish to buy and borrow the other half from your broker. To simulate this just
enter 50 in the Margin requirement field (see pic. 1) . If your intial equity is
set to 10000 your buying power will be then 20000 and you will be able to enter
bigger positions.
Please note that this settings sets the margin for entire account and it is NOT
related to futures trading at all. In other words you can trade stocks on margin
account.
Commissions
use portfolio commission table - backtester will use commission table as
defined in Tools->Portfolio->Settings
percent - commission is expressed as a percent of trade value
$ per trade - commission is fixed amount of dollars (or your currency) per
trade
$ per share/contract - commission is expressed in dollars (or your
currency) per share/contract purchased/sold
Annual interest rate
This setting <FONT
color=#ffffff>allows you to define annual interest earned when you are
out of the market or your <FONT
color=#ffffff>position is less than available equity.
Periodicity
This setting controls bar interval used for
backtesting/scan/exploration/optimization. To backtest intraday data you should
switch to proper interval there and then run the backtest.
Allow position
size shrinking
If you mark this box AmiBroker will shrink down <FONT
color=#ffffff>positions if available
equity is less than requested <FONT
color=#ffffff>position size (via PositionSize variable). If this box is
unmarked positions
will not be entered in such case.
Activate stops immediatelly
When you trade on open and want to have built-in stops activated on the same
bar - just mark this box.
If you trade on close and want built-in stops to be activated from the next
bar - unmark this box.
You may ask why do not simply check the buyprice or shortprice array if it is
equal to open price. Unfortunatelly this won't work. Why? Simply because there
are doji days when open price equals close and then backtester will never know
if trade was entered at market open or close.
Round lot <FONT
color=#ffffff>size
Various instruments are traded with various "trading units" or "blocks". For
example you can purchase fractional number of units of mutual fund, but you can
not purchase fractional number of shares. Sometimes you have to buy in 10s or
100s lots. AmiBroker now <FONT
color=#ffffff>allows you to specify the block <FONT
color=#ffffff>size on global and
per-symbol level.
You can define per-symbol round lot <FONT
color=#ffffff>size in the Symbol->Information page. The value of zero
means that the symbol has no special round lot <FONT
color=#ffffff>size and will use
"Default round lot <FONT
color=#ffffff>size" (global setting) from the Automatic Analysis settings
page. If default <FONT
color=#ffffff>size is set also to zero it means that fractional number of
shares/contracts are <FONT
color=#ffffff>allowed.
You can also control round lot <FONT
color=#ffffff>size directly from your AFL formula using RoundLotSize
reserved variable, for example:
RoundLotSize = 10;
Tick <FONT
color=#ffffff>size
This setting controls the minimum price move of given symbol. You can define
it on global and per-symbol level. As with round lot <FONT
color=#ffffff>size, you can define
per-symbol tick <FONT
color=#ffffff>size in the Symbol->Information page. The value of zero
instructs AmiBroker to use "default tick <FONT
color=#ffffff>size" defined in the Settings page of Automatic Analysis
window. If default tick <FONT
color=#ffffff>size is also set to zero it means that there is no minimum
price move.
You can set and retrieve the tick <FONT
color=#ffffff>size also from AFL formula using TickSize reserved
variable, for example:
TickSize = 0.01;
Note that the tick <FONT
color=#ffffff>size setting affects ONLY trades exited by built-in stops
and/or ApplyStop(). The backtester assumes that price data follow tick <FONT
color=#ffffff>size requirements and it
does not change price arrays supplied by the user.
So specifying tick <FONT
color=#ffffff>size makes sense only if you are using built-in stops so
exit points are generated at "<FONT
color=#ffffff>allowed" price levels instead of calculated ones. For
example in Japan - you can not have fractional parts of yen so you should define
global ticksize to 1, so built-in stops exit trades at integer levels.
Reverse entry signal forces exit
When it is ON (the default setting) - backtester works as in previous
versions and closes already open positon if new entry signal in reverse
direction is encountered. If this switch is OFF - even if reverse signal occurs
backtester maintains currently open trade and does not close positon until
regular exit (sell or cover) signal is generated. In other words when this
switch is OFF backtester ignores Short signals during long trades and ignores
Buy signals during short trades.
Allow same
bar exit (single bar trade)
When it is ON (the default settings) - entry and exit at the very same bar is
allowed (as in
previous versions)if it is OFF - exit can happen starting from next bar only
(this applies to regular signals,there is a separate setting for
ApplyStop-generated exits). Switching it to OFF <FONT
color=#ffffff>allows to reproduce the
behaviour of MS backtester that is not able to handle same day exits.
Trade tab
prices buy/sell/short/cover price fields - <FONT
color=#ffffff>allows the user to
define at which price to buy/sell/short sell/buy to cover during system test
delays buy/sell/short/cover delay - <FONT
color=#ffffff>allows to define custom
delay between signal and trade
Stop tab
max. loss stop
profit target stop
trailing stop
Report tab
Drawdown figures based on...
Drawdown figures in the backtest report measure equity dip experienced during
the trade(s). To calculate the dip you can use the worst case scenario: low
price for long trades and high price for short trades or single price (open or
close) for both long and short trades. "Drawdown figures based on..." setting
(pic. 2) allows you
to choose the price(s) used to calculate drowndowns. Using worst case scenario
you will get a few percent bigger drawdowns than using close or open price. On
the other hand Equity() function always uses shortprice/coverprice array so you
may choose open or close field here to match drawdowns as observed in equity
line.
Formula
- mark this box to include AFL formula in the backtest report
Settings
- mark this box to include settings in the backtest report
Incl. out-of-market pos
- mark this box to include out-of-market <FONT
color=#ffffff>positions in the backtest
report
Overall summary
- mark this box to include sum of individual symbol backtest results
Symbol summary
- mark this box to include per-symbol summaries
Trade list
- choose format of trade list included in the report
Best regards,Tomasz Janeczkoamibroker.com
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Dave Merrill
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Saturday, September 13, 2003 12:04
AM
Subject: RE: [amibroker] not
understanding positionsize
<SPAN
class=498355721-12092003>leaving Portfolio Trader aside, what does it mean to
uncheck 'Allow position size shrinking'? the docs say that new
positions won't be entered if there isn't sufficient equity. do I gather that
this means only that one individual position can't exceed the total value of
the account? but the total of multiple purchases still
can?
<SPAN
class=498355721-12092003>
<SPAN
class=498355721-12092003>thanks,
<SPAN
class=498355721-12092003>
<SPAN
class=498355721-12092003>dave
<BLOCKQUOTE
>
>Amibroker, at least the current version, assumes that
your entire portfolio is comprised of only one stock
This is not true. You can backtest multiple stocks
(example: set PositionSize = -20 and backtest over 5 symbol watch list the
results,
and in that case you can create portfolio equity using
AddToComposite)
>It is not capable of portfolio
backtesting
Not true. It is capable of portfolio backtesting even
now.
You can run portfolio backtest using PortfolioTrader
formula for example.
Correct would be to say that AB does not have native
portfolio backtest report.
Best regards,Tomasz Janeczkoamibroker.comSend
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