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Backtest will only show those trades actually taken
This will depend on a number of factors including Available equity,
trade size(you can set with posi, allowable number of positions (you
can set maximum) etc
Here is the options as I iften use them in the AFL
hope this helps
Check the help screens for backtesting tutorial
SetFormulaName("System 39");
SetTradeDelays( 1, 1, 1, 1 );
SetOption( "initialequity", 20000 );
PositionSize = 4000;
SetOption( "MaxOpenPositions", 10 );
SetOption( "PriceBoundChecking", 1 );
SetOption( "CommissionMode", 2 );
SetOption( "CommissionAmount", 32.95 );
PositionScore = 100/C;
On Sun, 13 Mar 2005 23:04:48 -0000, Jeff <jeffstr@xxxxxxxxxxxxx> wrote:
>
>
> Hi guy's, first post. This group has really helped accelerate the
> learning curve, please accept a big THANK YOU.
>
> I'm migrating from eSignal and Wealth-Lab and have a bit of
> programming experience but I just can't seem to get a grip on why my
> backtesting and scan results are different. Specifically, the scan
> shows all the signals, charts look great, buy/sell arrows exact,
> perfect SAR calculations, etc. But, backtesting shows a subset of
> the scans Buy/Sell signals.
>
> This script was called Danton Stops over at eSignal, but to me it's a
> nice SAR system using 3 minute charts at the key reversal periods of
> the day. When time permits, could someone please take a look at the
> backtesting results and possibly why they don't correlate to
> chart/scan signals. I've been using symbol XLNX to debug.
>
> Thanks,
> Jeff
>
> ////////////////////////////////////////
> // Danton STOP/SAR //
> // Written by: Jeff //
> ////////////////////////////////////////
> //=================================================
> //Ratio = 0.38; //Danton Ratio
> nRatio=Optimize("nRatio",0.38,0.0,0.40,0.02); //Danton Ratio
> dsar = Close;
> long = 1;
> SARcolor = colorBlue;
> ema220=EMA(C,220);
> //=================================================
> for( i = 2; i < BarCount-1; i++ )
> {
> //=================================================
> // Check for reversal
> reverse = 0;
> if ( long )
> {
> SellSig = Close[i] <= dsar[i-1];
> if(SellSig)
> {
> long = 0; reverse = 1; // reverse position to Short
> Sell[i] = 1;
> SellPrice[i] = dsar[i-1];
> // Short[i] = 1;
> // ShortPrice[i] = dsar[i-1];
> dsar[i] = round( (High[i] + ( High[i-1] - Low[i-1] ) *
> nRatio)*100)/100;
> }
> }
> else
> {
> BuySig = Close[i] >= dsar[i-1];
> if(BuySig)
> {
> long = 1; reverse = 1; //reverse position to long
> Buy[i] = 1;
> BuyPrice[i] = dsar[i-1];
> // Short[i] = 1;
> // ShortPrice[i] = dsar[i-1];
> dsar[i] = round( (Low[i] - ( High[i-1] - Low[i-1] ) *
> nRatio)*100)/100;
> }
> }
> //=================================================
> // No reversal - Adjust Stop, if Applicable
> if ( reverse == 0 )
> {
> dsar[i] = dsar[i-1]; //Set default to last SAR
> if ( long )
> {
> RangeExpanding = Close[i] > Close[i-1] OR Low[i] < Low[i-1];
> if (RangeExpanding)
> {
> Stop = round( (Low[i] - ( High[i-1] - Low[i-1] ) *
> nRatio)*100)/100;
> if (Stop > dsar[i-1] ) dsar[i] = Stop;
> }
> }
> else
> {
> RangeExpanding = Close[i] < Close[i-1] OR High[i] > High[i-1];
> if (RangeExpanding )
> {
> Stop = round( (High[i] + ( High[i-1] - Low[i-1] ) *
> nRatio)*100)/100;
> if (Stop < dsar[i-1] ) dsar[i] = Stop;
> }
> }
> }
> //=================================================
> //Color the SAR's
> if ( long )
> SARcolor[ i ] = colorBlue;
> else
> SARcolor[ i ] = colorRed;
> //=================================================
> }
> Cover=Buy;
> Short=Sell;
> Filter=Buy OR Sell OR Short OR Cover;
> Buy=ExRem(Buy,Sell);
> Sell=ExRem(Sell,Buy);
> Short=ExRem(Short,Cover);
> Cover=ExRem(Cover,Short);
> AddColumn(Buy,"Buy");
> AddColumn(Sell,"sell");
> AddColumn(Short,"short");
> AddColumn(Cover,"cover");
>
> Title= Name() +" - "+Interval(2) + " "+Date()+": Open"+WriteVal(O)+
> ", Hi"+WriteVal(H)+", Lo"+WriteVal(L)+
> ", Close"+WriteVal(C)+", Danton"+WriteVal(dsar);
>
> Plot( Close, "C", colorBlack, styleCandle );
> Plot( dsar, "Stop", SARcolor, styleDots | styleNoLine | styleThick);
> Plot( EMA220, "Stop", colorBlue, styleLine + styleThick);
> PlotShapes(shapeDownArrow*Sell,colorRed,0,dsar+0.05,0);
> PlotShapes(shapeUpArrow*Buy,colorBlue,0,dsar-0.05,0);
> GraphXSpace=3;
> //=================================================
>
>
> Please note that this group is for discussion between users only.
>
> To get support from AmiBroker please send an e-mail directly to
> SUPPORT {at} amibroker.com
>
> For other support material please check also:
> http://www.amibroker.com/support.html
>
>
> Yahoo! Groups Links
>
>
>
>
>
--
Cheers
Graham
http://e-wire.net.au/~eb_kavan/
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