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In order to test a simple high Beta strategy with the new portfolio tester
for the S&P100 equities I used the following code:
SetForeign(".OEX");
EMA1=EMA(C,40);
Buy1=Cross(C,EMA1);
Sell1=Cross(EMA1,C);
RestorePriceArrays();
Periods1=optimize("perioden",28,20,50,1);//Set the period of Observation
//****Beta***********************/
Beta=(( Periods1 * Sum(ROC( C,1) * ROC(P,1),Periods1 )) -
(Sum(ROC(C,1),Periods1) * Sum(ROC( P,1),Periods1))) / ((Periods1 *
Sum((ROC(P,1)^2 ),Periods1)) - (Sum(ROC(P,1 ),Periods1)^2 ));
SetOption("initialequity",100000);
SetOption("MaxOpenPositions", 10 );
PositionSize=-100/10;
Buy=Buy1;
Sell=Sell1;
PositionScore=beta;
It's really a very simple strategy that's based on weekly prices: Buy the
10 S&P100 equities with the highest beta over 28 weeks if the OEX crosses
its 40-week EMA, sell them if the OEX falls below its EMA. Over the past 10
years that strategy worked very well and outperformed the OEX by far. But I
ran into some problems/questions:
1. The Backtest Report shows me under "Trades" only 9 equities bought at
every buy date and not 10 as specified above. How come? I applied the test
to my market the contains the S&P100 equities but not the OEX itself. But
it seems as if AB includes also the equity/index introduced with
SetForeign(). How can I prevent that?
2. According to the test the 100,000 bucks invested on April 1, 1993 stood
at 802,727 as of Dec, 15, 2003, thereof Cash was at 60,120 - see the green
line in the attached picture. That seems extremely high given that the
system should be fully invested after every buy signal which was not the
case - see the 1994, 1998-2000 and 2003 periods. Has this to do with
problem no. 1? I noticed that on the first buy date the sum of all position
values of the bought 9 equities was several thousand dollars below 100,000.
This supports my suspect that Amibroker included the OEX in the number of
positions (reducing them to 9 instead of 10) but interpreted it at the same
time as cash (that gained an annual interest rate of 2% as specified in my
settings). So it seems that the system was not fully invested when in a
long position.
3. The Backtest Report doesn't show me how the portolio performed against
the OEX. Of course, I can run the test for the OEX alone (and setting
PositionSize to -100/1) and I have done that indeed. But is there a simpler
way how to do that?
4. I don't understand how exactly turning on "Pad and align to reference
symbol" influences the test results.
Thank you for your comments.
Regards, Thomas
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