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Hello,
Once again since some people not reading the docs made false
assumptions and didn't realize
that there is a whole new backtester mode working on regular
buy/sell/short/cover signals on PORTFOLIO
level that has nothing to do with rotational/fund switching
systems like Fred's PT.
There are TWO INDEPENDENT BACKTESTERs in AmiBroker 4.42.0 and
higer right now.
1. -- OLD BACKTESTER (called if you press "backtest"
or "optimize")
that can work in SINGLE symbol and MULTIPLE
symbol mode.
these do not include portfolio-level equity
handling
=====================================================
2. -- NEW BACKTESTER released in version 4.42.0,
(called if you press "portfolio test" button)
that works in TWO modes:
a) - REGULAR mode
that works CORRECTLY on PORTFOLIO level and uses PORTFOLIO
equity
and
buy/sell/short/cover signals and this is RECOMMENDED
b) - ROTATIONAL (scoring) mode that works
like Fred's PT.
The regular mode of NEW backtester is completely NEW and
not the same as old backtester.
It also has NOTHING to do with Fred's PT or rotational trading
(scoring mode - 2b) .
Run backtest of the system that has regular
buy/sell/short/cover variables
and has NO POSITIONSCORE variable (IMPORTANT) and has
PositionSize = -25 (for example)
and you will see that backtester takes trades and PORTFOLIO
LEVEL equity and STATISTICS
are calculated.
Best regards,Tomasz Janeczkoamibroker.com
----- Original Message -----
From: "Tomasz Janeczko" <<A
href="">amibroker@xxxxxx<FONT
size=2>>
To: <<A
href=""><FONT
size=2>amibroker@xxxxxxxxxxxxxxx>
Sent: Friday, October 03, 2003 12:06 AM
Subject: [amibroker] There is a REGULAR mode in the portfolio
backtester
> Hello,> >
Somehow everyone seem to be trying to use only ranking mode of portfolio
backtester,> but I want to stress out that there is a regular mode that
should be used> in ALL cases with the only exception of fund-switching
and similar systems.> > I wrote in the docs there are two modes of
portfolio backtester: regular and ranking.> Regular should be used when
you have buy/sell/short/cover > fields, ranking mode should be used for
ranking based systems.> > Attempts to reproduce results obtained
with old backtester will succeed> only when using REGULAR mode of
portfolio backtester.> ===================================>
> Ranking mode is fundamentally different and should not be used>
if you want to backtest your old formulas on entire portfolio.> >
Regular mode of porfolio backtester does handle the delays separately>
for buy/sell/short/cover.> > Rank mode does NOT (since it is
driven by single variable and there> is no delay setting for 'position
rank')> > The same applies to trade price settings. Regular mode
allows to control> exit/entry of long/short prices separately. Ranking
mode does not allow that.> > In the future versions there will be
separate setting for delay and price field in> ranking mode to avoid such
confusion.> > To summarise: unless you want to implement
fund-switching type of the system> you should use regular mode (which is
not only simpler to use but also> allows to reproduce trades generated by
old backtester)> > Best regards,> Tomasz Janeczko>
amibroker.com> Best regards,> Tomasz Janeczko>
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