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RE: [amibroker] Performance Charts



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Dale,
 
Jeez.... there is absolutely nothing you should 
worry about. 
 
It was explained long time ago in 
the amibroker-beta group 
<A 
href="">http://www.egroups.com/messages/amibroker-beta/
as well as in the user's guide.
<FONT 
color=#ff0000>Portfolio Equity is available in "C" field of 
~~~EQUITY (special ticker).
 
Individual-Backtest Equity WAS available 
via Equity() function in all versions since the very 
beginning.
And this remains so in version 4.50 and UP. 
<FONT face="Courier New" 
size=2>http://www.amibroker.com/f?equity
 
NOTHING has changed in how Equity() funciton 
works.
 
If you have used it in the past (with 4.40 
and earlier versions) you can continue using the VERY SAME formulas without 
any modification.
 
Equity() always refered and refers now 
to individual backtest equity.
 
"NEW" individual backtest and "OLD" backtesters 
produce THE SAME results, provided that you don't 
use
"pad and align" feature. 
 
Thus Equity() gives the same result as "OLD" 
backtester and the same as "NEW" backtester in "INDIVIDUAL BACKTEST" 
mode.
 
PORTFOLIO backtest is different. I will NOT explain 
it more. This topic was already discussed to death on 
amibroker-beta list. Just read the 
archives:
<A 
href="">http://www.egroups.com/messages/amibroker-beta/
 
As for removing extra signals/evaluating 
stops using Equity(1) - you can continue to do so regardless of backtester 
you are using.
This worked in the past and works now 
without need to change any single line of code.
It works also perfectly in new portfolio backtest 
mode.
<FONT 
face=Arial size=2>Best regards,Tomasz 
Janeczkoamibroker.com
<BLOCKQUOTE dir=ltr 
>
  ----- Original Message ----- 
  <DIV 
  >From: 
  dingo 
  To: <A title=amibroker@xxxxxxxxxxxxxxx 
  href="">amibroker@xxxxxxxxxxxxxxx 
  Sent: Saturday, May 15, 2004 6:42 
PM
  Subject: RE: [amibroker] Re: Help: 
  different results Explore vs Individual Backtest
  
  <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> > >   
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