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Thanks to all who have shared approaches.
It appears that different scale factors in producing my WTMix FNU files
has caused the problem. My long FNU had values in the 1000s while my
short FNU had values in the 10,000s nearer to 100,000. When I
recalculated my short fund to make its values fall in the low 1000s then
all of a sudden the backtest performed correctly.
Bruce, I flushed the cache and retrieved symbols but nothing changed
until I did the step described above.
FT does not care what order of magnitude is in the FNUs but apparently
AB cares.
I will retry each of the suggestions that have been made to confirm that
ALL work, now that my FNU files are adjusted.
Thanks for all the help.
Ken
-----Original Message-----
From: bruce1r [mailto:brucer@xxxxxxxxx]
Sent: Sunday, October 03, 2004 3:44 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: Long and Inverse Fund
Ken - do this then retry
File / Database settings / Flush cache
Configure / Retrieve symbols
Close / OK
--- In amibroker@xxxxxxxxxxxxxxx, "Ken Close" <closeks@xxxx> wrote:
> Chuck:
>
> Nice to hear from you.
>
> I have tried everything and just had a clue:
>
> I put in the following code which Bert Steele suggested many
messages
> ago:
>
> =================================================
> // test name2. afl
>
> SetForeign("BRSIX");
> Cond1 = C >= EMA(C, 21) ;
> RestorePriceArrays();
> //Buy = Sell = Short = Cover = 0;
> Buy = (Cond1 == True AND Name() == "BRSIX") OR (Cond1 == False AND
> Name() == "POSSX");
> Sell = (Cond1 == False AND Name() == "BRSIX") OR (Cond1 == True AND
> Name() == "POSSX");
> Short = 0; //Not shorting anything
> Cover = 0;
> Filter = Buy OR Sell;
> AddColumn(C,"Close", 1.2);
> AddColumn (Cond1, "Cond1",1.0);
> AddColumn (Buy, "POSSX to BRSIX", 1, colorDefault, IIf(Buy,
colorGreen,
> colorDefault));
> AddColumn (Sell, "BRSIX to POSSX", 1, colorDefault, IIf
(Sell,colorRed,
> colorDefault));
> ===============================================
>
> This worked with BRSIX and POSSX alternating in the trade list.
>
> I then substituted my "long" and "inverse" funds, which are really
FNU
> files produced within the FastTrack context (really just txt files
with
> dates and closing prices).
>
> In the exact same code as above, I only see my "long" fund (FNU
file)
> displayed in the Trade list. I even changed the SetForeign
statement to
> name my "long" FNU file.
>
> Since I use these "long" and "inverse" FNU files for all sorts of
other
> stuff, and they work ok there, I am truly puzzled why they seem to
cause
> the above code to operate incorrectly.
>
> The above code seems to work ok whether Long only or Long and Short
is
> set in the Settings box.
>
> Any ideas?
>
> Ken
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