|
PureBytes Links
Trading Reference Links
|
Hello,
It seems that combination of
"Activate Stops immediatelly" turned ON
and
"Allow Same Bar Exit (single bar trade)" turned OFF
causes this problem.
I will investigate it further and provide a fix.
Please note however that the combination of settings described above makes little
sense because you do allow to exit the same bar by stop but do not allow to exit the same bar on regular signal.
Also as written in the Tutorial: Back-testing your trading ideas, "activate stops immediatelly" option should
be used only when trading on Open.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "b519b" <b519b@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Friday, October 10, 2003 12:02 AM
Subject: [amibroker] Re: back test versus porfolio back test
> Dave,
>
> I sent a similar bug report in a few days ago. In my case, the
> entries and exits wre market signals, so all trades should have been
> exiting at the same time, but once in every 5 to 10 exits, one trade
> would not exit and would remain "open" until the end of the test
> period - even if the end was several years and 50 market exit
> signals later. In one test a portfolio of 5 was down to only 1 stock
> being traded after 10 years. The other 4 slots in the portfolio were
> occupied by the trades that failed to exit.
>
> As you say, it may be a tough bug for TJ to track down because, at
> least in my case, it was only happening 4 times in several hundred
> trades.
>
> However, the "possible" bug my previous post referred to was of a
> different nature. I have to make some time to explore it a bit more
> before sending in a bug report -- I want to make sure the problem is
> not something in my AFL code or my data.
>
> But I will tell you what it looks like, in case you have already
> seen somthing like it. It appears that in some conditions the
> settradedelay does not take effect. Either that or I have discovered
> the mother of all Holy Grails: 800%/year with only 18% drawdowns.
> Have you noticed anything like this?
>
> b
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Dave Merrill" <dmerrill@xxxx>
> wrote:
> > have you checked if there are important differences in the actual
> trades? I
> > assume, since you're comparing the results, that you're not using
> any
> > portfolio features that you *want* to make it behave differently
> in that
> > mode, right?
> >
> > one reason I ask about the actual trades is that while working on
> > portfolio-based systems recently, I've noticed what may be some
> strange sell
> > behavior, or rather lack of sells. it's come up in a pretty complex
> > environment, and I'm not 100% certain my code isn't causing it in
> some way,
> > but I haven't seen how it is, yet. I sent in a possible bug report
> about it
> > and haven't heard back, probably because it's not a simple, easy
> to isolate
> > situation that would have been easy to confirm or explain away.
> >
> > for example, one system switching on fairly fast indicators showed
> some
> > holdings lasting multiple years. I can see on the charts that the
> relevant
> > indicators crossed their thresholds many times, without generating
> a sell.
> > also, the system had a 30% stop loss in place, that likewise
> didn't sell. I
> > discovered this while investigating some trades with
> uncharacteristically
> > large losses, like 87%. sometimes things like that do happen if a
> stock
> > breaks really quickly through your stop, but here, the losses
> occurred over
> > a very long period. the expected sells never occurred, neither
> from my
> > indicator-based code nor from the stop loss.
> >
> > as I said, I wrote bugs@xxxx about this; hopefully I'll hear back
> > at some point.
> >
> > dave
> > I'm playing with some simple ideas right now, and I find that I
> am
> > getting dramatically different test results from the regular back
> > tester and the new portfolio back tester. I realize the latter
> is a
> > beta while the former is not, however the former is showing a
> nice
> > profit on the report summary, while the latter is showing a loss.
> > Anyone else getting conflicting results like that? Shouldn't the
> > money totals be the same?
> >
> > Yuki
>
>
>
> Send BUG REPORTS to bugs@xxxxxxxxxxxxx
> Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
> -----------------------------------------
> Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> --------------------------------------------
> Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
>
> Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
>
>
>
------------------------ Yahoo! Groups Sponsor ---------------------~-->
Buy Ink Cartridges or Refill Kits for your HP, Epson, Canon or Lexmark
Printer at MyInks.com. Free s/h on orders $50 or more to the US & Canada.
http://www.c1tracking.com/l.asp?cid=5511
http://us.click.yahoo.com/mOAaAA/3exGAA/qnsNAA/GHeqlB/TM
---------------------------------------------------------------------~->
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
|