|
PureBytes Links
Trading Reference Links
|
Hello,
Portfolio backtesting is performed on PORTFOLIO level (some trades may be dropped due
to insufficient funds)
INDIVIDUAL backtest in performed on SYMBOL-BY-SYMBOL basis (not portfolio) - all trades
are taken - hence the difference.
It is all explained in the users guide.
http://www.amibroker.com/guide/h_portfolio.html
Equity() funciton is an OLD backtester (that performs equity calculation on
SINGLE SECURITY backtest, not on portfolio).
http://www.amibroker.com/f?equity
PORTFOLIO equity is ****NOT**** the sum of individual backtest equities !!!
==================================================
If it was that easy there would be NO REASON to implement portfolio backtesting at all.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "eseward_2000" <eseward_2000@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Friday, May 14, 2004 7:01 PM
Subject: [amibroker] Re: Help: different results Explore vs Individual Backtest
> 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);
> > >
> > >
> > >
> > >
> > > Send BUG REPORTS to bugs@xxxx
> > > Send SUGGESTIONS to suggest@xxxx
> > > -----------------------------------------
> > > 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 Sponsor
> > > ADVERTISEMENT
> > >
> > >
> > >
> > >
> > >
> > > ------------------------------------------------------------------
> --
> > --------
> > > --
> > > Yahoo! Groups Links
> > >
> > > a.. To visit your group on the web, go to:
> > > http://groups.yahoo.com/group/amibroker/
> > >
> > > b.. To unsubscribe from this group, send an email to:
> > > amibroker-unsubscribe@xxxxxxxxxxxxxxx
> > >
> > > c.. Your use of Yahoo! Groups is subject to the Yahoo! Terms
> of
> > Service.
>
>
>
>
> 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
>
>
>
>
>
>
------------------------ Yahoo! Groups Sponsor ---------------------~-->
Yahoo! Domains - Claim yours for only $14.70
http://us.click.yahoo.com/Z1wmxD/DREIAA/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/
|