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Yup, that's checked. I tried aligning it to ^DJI, as well, and it
still does the same thing. It happens consistently, too. Insert a
stock into the watchlist with a shorter run of data than the rest
anywhere in the order (3rd, 5th, etc.) and it still happens. It
stops, though, from the date when all the securities in the watchlist
have data available in common.
For example, testing a watchlist of securities since January 1, 2005
which includes a security that was a new issue first listed on March
1, 2005 would trigger the bug. Start the test after March 1, though,
and things work fine.
Because of its predictability and "re-creatability" I think it's a
bug, just an unimportant one that rarely turns up.
Tomasz probably doesn't need to spend any time working on this, I
just posted as an FYI.:)
Luck,
Sebastian
--- In amibroker@xxxxxxxxxxxxxxx, "emp62" <emp62@xxxx> wrote:
>
> never encountered this problem so it is not due to a bug in
Amibroker. Not
> sure if it helps but do you have "Pad and align all data to
reference
> symbol" (using ^GSPC in your case) set in the Backtester settings
window?
>
> rgds, Ed
>
>
> ----- Original Message -----
> From: "sebastiandanconia" <sebastiandanconia@xxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Sunday, December 04, 2005 9:38 PM
> Subject: [amibroker] Portfolio system test doesn't pick up all the
stocks.
>
>
> > I'm using AB 4.70rc2, with most of the system test settings in
default
> > mode.
> >
> > I run a portfolio-level system test where a full portfolio of 10
> > stocks in a watchlist is bought/sold on the same Foreign()
buy/sell
> > signals from ^GSPC. Position-sizing is based on this:
> >
> > PosQty = 10; // You can define here how many open positions you
want
> > SetOption("MaxOpenPositions", PosQty );
> > PositionSize = -99/PosQty; // invest 99% of portfolio equity/
> >
> > ...and the difficulty I'm having is not related to the equity
being
> > too low.
> >
> > If all the stocks in a watchlist I'm testing have data available
for
> > the entire test period, all the stocks get bought/sold as they
> > should. However, if one of the stocks is a new issue (or for some
> > other reason there isn't data available), what happens is that the
> > system tester buys stocks (in the alphabetical order of the
watchlist)
> > UNTIL IT REACHES THE STOCK WITHOUT DATA AT THAT TIME. It doesn't
buy
> > that stock, of course, because there's no data. However, the
system
> > tester doesn't "jump" to the next stock(s) in the watchlist and
buy
> > them. Instead, it simply buys the first stocks on the list until
it
> > reaches the one with missing data, then doesn't buy any more even
if
> > there IS data available for those remaining stocks.
> >
> > As a practical matter for me, the fix is easy: Kick the stock
without
> > data for the full test-period and simply replace it with another
that
> > has continuous data. There's no such thing as a stock that's
> > irreplaceable.:)
> >
> > I just ran across this glitch and thought I'd pass it on. (My AB
> > version is several months old, so it may even be a bug that's
already
> > been fixed.)
> >
> >
> > Luck to all,
> >
> > Sebastian
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> > 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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