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Hello,
More information on this:
the problem happens when:
- there are 2 buy signals and 2 sell signals on the same security in 2 consecutive bars in a row
- "Activate Stops immediatelly" is turned ON
- "Allow Same Bar Exit (single bar trade)" is turned OFF
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
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>
>
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