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RE: [amibroker] Performance Charts



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<FONT face=Arial 
color=#0000ff size=2>Whoa duude!
<FONT face=Arial 
color=#0000ff size=2> 
<FONT face=Arial 
color=#0000ff>You just got my head spinning with "<FONT 
face="Courier New" color=#000000 size=2>Equity() funciton is an OLD backtester 
(that performs equity calculation on SINGLE SECURITY backtest, not on 
portfolio).<FONT 
face="Courier New" size=2>http://www.amibroker.com/f?equity<FONT 
size=2>"
<FONT 
size=2> 
<FONT 
size=2>Are we now NOT to use the Equity function at all when running 
portfolio backtests and individual backtests? Or is it just Equity() and not 
Equity(1)?  I've been running both portfolio and individual while using 
Equity(1) to make the applystops work and to remove excess signals (instead of 
Exrem).  If I'm not to use the Equity(1) then what should I be 
using?
<FONT 
size=2> 
<FONT 
size=2>d
<FONT face=Arial color=#0000ff 
size=2>

  
  
  From: Tomasz Janeczko 
  [mailto:amibroker@xxxxxx] Sent: Saturday, May 15, 2004 12:28 
  PMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker] 
  Re: Help: different results Explore vs Individual 
Backtest
  Hello,Portfolio backtesting is performed on PORTFOLIO 
  level (some trades may be dropped dueto 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. <A 
  href="">http://www.amibroker.com/guide/h_portfolio.htmlEquity() 
  funciton is an OLD backtester (that performs equity calculation onSINGLE 
  SECURITY backtest, not on portfolio).<A 
  href="">http://www.amibroker.com/f?equityPORTFOLIO 
  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 Janeczkoamibroker.com----- 
  Original Message ----- From: "eseward_2000" 
  <eseward_2000@xxxxxxxxx>To: 
  <amibroker@xxxxxxxxxxxxxxx>Sent: Friday, May 14, 2004 7:01 
  PMSubject: [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@xxxx]> > 
  >   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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