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RE: [amibroker] Backtester not following some entry signals



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Oh. Sorry about that; I saw two messages and thought the second was just a correction of the first.
 
In response to your comments on the actual backtest: yes; these are instances where an exit (either sell or cover) is signaled, along with a reverse entry (short or buy long), both on the same bar. The system should do a stop and reverse, but the backtester misses some of them.
 
Thanks,
Ed
-----Original Message-----
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Graham
Sent: Monday, March 13, 2006 11:12 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Backtester not following some entry signals

I realise that the shapes do not make the signals, it was that you created a complex bit of code for a simple thing for the plotshapes. It may have been a long shot that the plotshapes code was incorrectly showing signals
 
My other comments related to backtest.


--
Cheers
Graham
AB-Write >< Professional AFL Writing Service
Yes, I write AFL code to your requirements
http://e-wire.net.au/~eb_kavan/ab_write.htm
 
On 3/14/06, Ed Cottrell <emc@xxxxxxxxxxxxxx> wrote:
Graham,
 
Actually, the arrows plot fine - I just added them, today, to help me see the signals more clearly. The problem is that the backtester isn't picking up all of the trades that are signaled (whether or not the PlotShapes commands are in my code).
 
-Ed
-----Original Message-----
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Graham
Sent: Monday, March 13, 2006 9:33 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Backtester not following some entry signals

sorry forgot the colour in the lines

PlotShapes( Buy * shapeUpArrow, colorGreen, 0, Low, 0 );
PlotShapes( Cover * shapeUpTriangle, colorGreen, 0, Low, -15 );

PlotShapes( Sell * shapeDownArrow, colorRed, 0, H, 0 );
PlotShapes( Short * shapeDownTriangle, colorRed, 0, H, -15 );

--
Cheers
Graham
AB-Write >< Professional AFL Writing Service
Yes, I write AFL code to your requirements
http://e-wire.net.au/~eb_kavan/ab_write.htm


On 3/14/06, Graham <kavemanperth@xxxxxxxxx> wrote:
>
>
> without any mroe details and based on the confusing plotshapes It is confusing to me anyway, so i changed to simple straightforward plot statements, please see if these make a difference
>
>
> PlotShapes( Buy * shapeUpArrow, 0 , Low, 0 );
>
> PlotShapes( Cover * shapeUpTriangle, 0, Low , -15 );
>
> PlotShapes( Sell * shapeDownArrow, colorRed , 0, H, 0 );
>
> PlotShapes( Short * shapeDownTriangle, colorRed, 0, H, -15 );
> Did some of your trades actually exit before the next entry signal? if not then there would be no next trade which would mean some signals were ignored
> Plotting shapes for the signals does not mean the trades will actually be taken in backtest, it just means there was a signal at that bar.
>
>
>
>
> --
> Cheers
> Graham
> AB-Write >< Professional AFL Writing Service
> Yes, I write AFL code to your requirements
> http://e-wire.net.au/~eb_kavan/ab_write.htm
>
>
>
> On 3/14/06, Ed Cottrell <emc@xxxxxxxxxxxxxx > wrote:
> >
> >
> > Hi Tomasz,
> >
> > Unfortunately, those settings aren't my problem. I have plenty of cash ($100k), min shares is 1, min position size is $2k, etc. None of the settings I know about seem to be problematic.
> >
> > Thanks,
> > Ed
> >
> >
> > -----Original Message-----
> > From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Tomasz Janeczko
> > Sent: Monday, March 13, 2006 6:38 PM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: Re: [amibroker] Backtester not following some entry signals
> >
> > Hello,
> >
> > Depending on available cash (or rather LACK of it) backtester will skip some
> > trades, also some constraints like (min. shares, round lot size) may prevent
> > from entering the trade.
> >
> > http://www.amibroker.com/gifs/bt_regular.gif
> >
> >
> > Best regards,
> > Tomasz Janeczko
> > amibroker.com
> > ----- Original Message -----
> > From: "Ed Cottrell" < emc@xxxxxxxxxxxxxx>
> > To: <amibroker@xxxxxxxxxxxxxxx>
> > Sent: Tuesday, March 14, 2006 12:58 AM
> > Subject: [amibroker] Backtester not following some entry signals
> >
> >
> > > Hello all,
> > >
> > > I have a system which plots its buy/sell/short/cover signals (using arrows
> > > and triangles). Eyeballing an hourly chart for a certain period, I found 8
> > > trades on a given symbol. The backtester, running on hourly bars over the
> > > same period, found only 6. I'm not using any stops with delays before
> > > reentry or anything like that. Both of the missing trades are
> > > stop-and-reverse type trades, though the backtester did pick up a couple of
> > > those, as well.
> > >
> > > Any ideas what could be causing this?
> > >
> > > The plots use the following code, so I'm pretty sure the arrows are okay:
> > >     shape = Buy * shapeUpArrow + Sell * shapeDownArrow;
> > >     PlotShapes( shape,
> > >          IIf( Buy || Cover, colorBrightGreen, colorRed ),
> > >          0,
> > >          IIf( Buy || Cover, Low, High ),
> > >          -15
> > >          );
> > >     shape = Short * shapeDownTriangle + Cover * shapeUpTriangle;
> > >     PlotShapes( shape,
> > >          IIf( Buy || Cover, colorBrightGreen, colorRed ),
> > >          0,
> > >          IIf( Buy || Cover, Low, High ),
> > >          IIf(Buy && Cover || Sell && Short, -40, -15)
> > >          );
> > >
> > >
> > > Thanks!
> > >
> > > -Ed
> > >
> > >
> > >
> > >
> > >
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For other support material please check also:
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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





SPONSORED LINKS
Investment management software Real estate investment software Investment property software
Software support Real estate investment analysis software Investment software


YAHOO! GROUPS LINKS