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RE: No control over order of H-L. Of course not. No system can unless
you have intraday data to follow.
RE: Fractional shares. In AA, Settings, set Round Lot size also.
RE: Wrong price. It appears you have BuyPrice set to channeltop
somewhere. AB only has BuyPrice for OHL or C none of which == 10.59.
Also check your trade delays settings.
RE: Suggestion to use Cross instead of > since the latter produces
multiple signals.
Buy = Cross(High,channeltop);
Terry
ima_cons wrote:
>
>Hy everybody,
>
>
>this post has two purpose:
>
>- to alert users about "not realistic assumptions" about
>back
>testing;
>- to ask TJ if he can kindly check and fix what I'm about to say.
>
>
>As an absolute beginner user, I tried to get in touch with Amibroker
>and the back testing feature, using a simple channel break-out
>system on just 1 stock.
>Just to be clear, the AFL is something like that:
>
>
>channeltop = Ref( HHV( High, 10 ), -1 );
>channelbottom = Ref( LLV( Low, 10 ), -1 );
>
>Buy = High > channeltop;
>Sell = Low < channelbottom;
>
>Very simple logic, stop and reverse, always in the market.
>
>I was stunned because the results were too good to be true and well
>above those of another backtesting engine (TS5).
>
>
>So I checked trade by trade and found out 2 problems:
>
>
>1)suppose I'm long and get a stop and reverse signal for tomorrow
>at 10,59.
>
>Next day the market opens at 10.18 than rallies and make a high at
>10.80 and close at 10.76 (that's a real case about an Italian
>stock).
>
>In the real life I should have sold and open a short position at
>10.18, the open. Unluckily, AMB sells at 10.59, i.e. doesn't have
>any control about the order of the price inside the daily bar.
>
>
>2)now, go on with the example. Let's suppose I close the long
>position and sell short at 10.18 (at the open). Like any channel
>breakout system, now I have a buy stop level, let's say it is
>10.70.
>
>
>Amibroker refuses to recognize that in that day I have 2 trades (
>first I cover long and go short, and later I cover short and go
>long) and execute just the first of them.
>So next day, the back testing is short but in real life I should be
>long.
>
>
>
>Then, there a third little reason for difference, but this is less
>disturbing; I'm not able to explain to AMB that I cannot trade
>fractional part of a share.
>I have "1" in Automatic Analysis ---- Settings---- "min
>Shares"
>but still the backtest trades something like 929.387 shares……
>instead of 929.
>
>
>Please don't think these are marginal questions. Over a 10 year
>period the difference in reported performace compounds and at the
>end is very large.
>
>I strongly want to stress that I love AMB. I have other software,
>but like AMB more than higher priced programs.
>
>Just let's fix these things….
>
>
>
>
>
>
>
>
>
>
>
>
>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
>
>
>
>
>
>
>
>
>
>
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