[amibroker] Re: portfolio backtest - I get different results

["onelkm" <LKMCD1@xxxxxxx>]

Terry
Thanks for the input. I checked out your comments, but they don't 
seem to apply here because my "PositionSize" is always 100% of 
portfolio equity and I am only trading one fund at a time. Other 
curious observations: Both systems chose the same ticker for the 
first 2 trades and the buy/sells are on the same days. Then, for the 
third trade, when Position Size Shrinking is ON, the third trade is 
made on the same day as the sell, but with Position Size Shrinking 
off, the trade is taken the next day, yet the buy delay and sell 
delay =1 for both cases. The third trade selected the #2 ranked fund 
instead of the top ranked fund when Position Size Shrinking is ON; 
with Position Size Shrinking off, the correct top ranked fund was 
selected. Activate stops immediately and Allow same bar exit boxes 
are not checked.

Any additional help by you or anyone else would be most appreciated.
Larry

--- In amibroker@xxxxxxxxxxxxxxx, Terry <MagicTH@xxxx> wrote:
> (Without checking your data below)... This means you have a losing 
trade 
> somewhere that takes your equity below your starting value. When 
Allow 
> Position Size Shrinking is ON the trade will be taken with whatever 
> capital you have left. If it's not checked, the trade will be 
skipped 
> because you don't have enough money.
> 
> Terry
> 
> onelkm wrote:
> 
> >I can't figure out why this happens – When I run a portfolio  
> >backtest I get different results depending on whether the "Allow 
> >position size shrinking" box is checked in  "Backtester Settings" 
yet 
> >I am only trading one fund at a time. I looked through the help 
files 
> >but found nothing. Here is a simple example of the code:
> >
> >pos        = Optimize("pos",             1,     1,     4,     1); 
> >SetOption("MaxOpenPositions", pos ); 
> >per1       = Optimize("per1",           43,     5,    60,     1); 
> >gain=(C-Ref(C,-per1))/Ref(C,-per1); 
> >amt1       = Optimize("amt1",           45,     1,    60,     1); 
> >amt2       = Optimize("amt2",        0.044,  0.01,   0.3, 0.001); 
> >Buy =gain>amt2; 
> >Sell=0; 
> > 
> >PositionSize = -100/pos; 
> >PositionScore = 10000+ ROC(C,amt1) ;  
> >trail      = Optimize("trail",         2.6,   0.5,     6,   0.1); 
> >ApplyStop( stopTypeTrailing, stopModePercent, trail, True ); 
> >Loss       = Optimize("Loss",          0.3,   0.1,     3,   0.1); 
> >ApplyStop( stopTypeLoss, stopModePercent, Loss, True ); 
> >
> >Also, when the "Allow position size shrinking" box is checked, the 
> >fund selected is not the highest ranked fund according to the 
> >criteria used in the "Positionscore" equation. However, when the 
box 
> >is not checked, the highest ranked fund is selected.
> >Any clues why this happens???
> >Thanks
> >Larry
> >
> >
> >
> >
> >
> >
> >
> >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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