|
PureBytes Links
Trading Reference Links
|
Hello AB Community,
Perhaps somebody can help me with the following.
Below I have a simple example strategy which I run in both Explore
and Individual Backtest. You can use any group of securities yourself
to replicate.
The problem is that I get different results in the Equity(1) (here:
IndivEq) via Explore versus the results shown in the Individual
Backtest. Differences amount to a couple of dollars to a few
thousand. So the question is: how can I make sure that I get the same
(equity) results in Explore and in the Individual Backtest.
No doubt there is a simple explanation here, but I can't figure it
out.
Thanks in advance for your help.
Patrick
Filter=1;
Groep=GroupID();
List = GetCategorySymbols(categoryGroup,Groep);
//SetBarsRequired(10,10);
MPLB=126; //Daily
AnnPer = 256;
for( n=1; (Ticker=StrExtract( List, n))!= ""; n++)
{
k=n+1;
}
//TypeBacktest=Status("action");
Scan = Status("Action")==3;
Indicator = Status("Action")==1;
Explore = Status("Action")==4;
Backtest = Status("Action")==5;
SetOption("InterestRate",0);
SetOption("MaxOpenPositions",k);
SetOption ("CommissionMode",1);
CommPerc = Param("Commission%",1,0.25,5);
SetOption("CommissionAmount", CommPerc);
WLScan = 0;
if (Scan AND WLScan==1)// = Scan Mode for Next day's trades
Delay = 0;
else
Delay = 1;
SetTradeDelays( Delay, Delay, Delay, Delay );
StartCapital = 1000000;
PFBT = 0;
if (Scan OR Explore OR (Backtest AND PFBT==0))
SetOption("InitialEquity",StartCapital/k);
else
if (Backtest AND PFBT==1) SetOption("InitialEquity",StartCapital);
BarInTest=Status("barinrange");
ValidB=//1;
BarIntest==1;
Buy=ValidB AND MACD()>Signal() ;
Sell = ValidB AND Signal()>MACD();
//Short = Sell; Cover = Buy;
Short=0; Cover = 0;
BuyPrice=SellPrice=ShortPrice=CoverPrice=Close;
SigEq=1;
IndivEq = Equity(SigEq);
AddToComposite( Indiveq, "~ComposEq", "C" );
ComposEq = Foreign("~ComposEq","C");
PFBTCap = LastValue(ValueWhen(Status("firstbarinrange"),ComposEq));
if(Backtest AND PFBT==1)
PositionSize=
//IndivEq;
-IndivEq/ComposEq;
//-100/k;
else
PositionSize=-100;
PositionScore =
//1;
100 - RSI(14);
AddColumn(Indiveq,"IndivEq", 1.3);
AddColumn(ComposEq,"CompEq", 1.3);
------------------------ Yahoo! Groups Sponsor ---------------------~-->
Make a clean sweep of pop-up ads. Yahoo! Companion Toolbar.
Now with Pop-Up Blocker. Get it for free!
http://us.click.yahoo.com/L5YrjA/eSIIAA/yQLSAA/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
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|