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Gary,
See the previous discussion on this on amibroker-beta
list.
Best regards,Tomasz Janeczkoamibroker.com
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Gary
A. Serkhoshian
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Friday, November 21, 2003 12:52
AM
Subject: Re: [amibroker] Using Portfolio
Backtester To Track Performance - Need Pyramiding
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:
<BLOCKQUOTE class=replbq
>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
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