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Hello,
I have run your code on the following stocks:
INTC (intel)
AA (alcoa)
C (citigroup)
IBM (intl. business machines)
And in all cases I get the same results of individual backtest vs explore.
Background:
Equity() funciton is an "OLD" backtester. It gives the same results as
*individual backtest* provided that you do NOT use "Pad and align" option (found in AA-Settings->Portfolio tab)
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "vlanschot" <ecbu@xxxxxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Friday, May 14, 2004 10:37 AM
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@xxxxxxxxxxxxx
> Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
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