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<FONT face=Arial
color=#0000ff size=2>(exiting panic mode).. Ok, thanks
TJ!
<FONT face=Arial
color=#0000ff size=2>
<FONT face=Arial
color=#0000ff size=2>(off to read all of the posts on amibroker-beta
AGAIN)..
<FONT face=Arial
color=#0000ff size=2>
<FONT face=Arial
color=#0000ff size=2>d
From: Tomasz Janeczko
[mailto:amibroker@xxxxxx] Sent: Saturday, May 15, 2004 1:23
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker]
Re: Help: different results Explore vs Individual
Backtest
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).<A
href=""><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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