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G,
Who follows their system 100%? This is functionality that everybody needs.
Even if you follow your system 100% you need to compare actual fills to what AmiBroker was filled to ensure you've accounted for slippage properly.
All of this can be tracked offline in Excel, Access, etc., but it would be sweet to have the functionality built into AB.
You see Tomasz, you give us an inch, and we ask for a mile : )
Regards,
Gary
giggollo99 <giggollo@xxxxxxxxxxx> wrote:
One interesting way I have started using the new Portfolio Backtester is to track my own live trading performance. Here's how:1. Extract transactions list from my brokerage's "Transactions" page2. Write a small script to convert Transactions list into AFL buy/sell signals...e.g....Buy=Buy OR (DateNum()==1031118 AND Name()=="URMP");Buysize= IIf(DateNum()==1031118 AND Name()=="URMP",6000,buysize);BuyPrice=IIf(DateNum()==1031118 AND Name()=="URMP",0.225,BuyPrice);...4. Copy/Paste the AFL code into AA window5. Add following line:PositionSize=Buysize*BuyPrice;6. Run Portfolio Backtesterand Voila!...i get a plethora of metrics telling me how well i am doing, i get account equity curves, trade equity curves, i get trade by trade P/L and MAE info and much more!...This is extremely useful
information to have if you are a discretionary (or semi-discretionary trader). It is interesting to start looking at your own discretionary trading as a system, because in the end it all boils down to buy/sell signals and you can see what areas you need to work on..Even if you are trading a system (or trying to :) ), using this approach can provide valuable information regarding the difference between perceived theoretical performance of your system and actual measured performance. It can show you where your actual results are deviating from the theoretical expectations.Through this post I also would like to draw attention to the fact that implementing pyramiding is an essential step towards the maturing of the portfolio backtester. Right now, for example, Portfolio backtester gets the P/L wrong on some trades just because pyramiding is not yet implemented. It retains the share size of the first trade even if i bought
the same security multiple times before selling. I do not know of a way to get around this except to wait patiently for pyramiding to be implemented (i am open to suggestions?)I thank Tomasz for providing such a nice tool and continuing to improve the product with great momentum. I am *really* looking forward to seeing pyramiding implemented in the near future.Thanks and Best regards to allgSend BUG REPORTS to bugs@xxxxxxxxxxxxxSend 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 the Yahoo! Terms of Service.
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Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
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