PureBytes Links
Trading Reference Links
|
<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);> > > >
> > > > > > > > > > >
Send BUG REPORTS to bugs@xxxx> > > Send SUGGESTIONS
to suggest@xxxx> > >
-----------------------------------------> > > Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx> >
> (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)>
> > -------------------------------------------->
> > Check group FAQ at:> > > <A
href="">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:> > > <A
href="">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: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)>
--------------------------------------------> Check group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> Yahoo! Groups Links> > > > >
> Send BUG REPORTS to bugs@xxxxxxxxxxxxxSend
SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
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 Sponsor
ADVERTISEMENT
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 the Yahoo! Terms of Service.
|