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Hi Patrick,
I too am having an issue like this with the portfolio backtester vs
an individual explore: different results. I also have SetTradeDelays
@ zero and sell @ close.
Am eager to see any explanation or help on this.
FYI: Also in portfolio backtesting, seeing a buy trade delay of 1 on
weekly periodicity giving me the PositionScore for the PREVIOUS week
(instead of giving PositionScore for the CURRENT week and using the
value of the following bar for buying).
Bill
--- In amibroker@xxxxxxxxxxxxxxx, "vlanschot" <ecbu@xxxx> wrote:
> Jayson,
>
> Thanks for the reply.
>
> My AA-settings are exactly the same as the ones specified in the
> code: BuyP = SellP = ShortP = CoverP =C, with a delay =1. In any
> case, I always assumed that the SetTradeDelays (which I specified)
> overruled the ones in AA-Settings.
>
> In addition, as you can see in the code, I use no stops, etc. Also,
> the dates and type of trades agree, it's just the equity-amounts
that
> disagree.
>
> I assume that you always have been able to replicate the results in
> Individual Backtest exactly in Explore, so my search continues.
>
> Thanks again,
>
> Patrick
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Jayson" <jcasavant@xxxx> wrote:
> > Patrick,
> > check the settings in AA. perhaps you are using a buy/sell delay
or
> > entering/ exiting on high or low instead of the close you use in
> your
> > exploration...... You might have a look at the back testing
> tutorial in the
> > help files
> >
> > Regards,
> >
> > Jayson
> >
> > -----Original Message-----
> > From: vlanschot [mailto:ecbu@x...]
> > Sent: Friday, May 14, 2004 4:37 AM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: [amibroker] Help: different results Explore vs
Individual
> > Backtest
> >
> >
> > 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);
> >
> >
> >
> >
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