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Title: Message
That's
just it - equity never drops below 97k and my min position size is only 2k.
Positions aren't limited on the upside in any way (volume settings or any
of the relevant variables).
I did
just discover that unchecking the box "Use previous bar equity for position
sizing" fixes the problem. I'm at a loss for why that would matter, since the
previous bar's equity was always more than sufficient to make any trades; it was
always at least 97% of opening equity and I set it as high as $10 million,
without any change in the backtester's behavior. Since the backtester did pick
up some stop-and-reverse trades, this seems like a bug.
-Ed
there must be a limiting
factor for the trades not to be taken
try increasing equity, max positions,
or changing the positionsize
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:
>
>
>
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
>
>
>
> -----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
>
> > > >
> > > > >
> > > >
>
> > > > >
> > > > >
> > >
> > 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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> > > >
>
> > > > >
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> > >
> >
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> >
> >
> > > >
> > > > Please note that this
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> > > >
>
> > > To get support from AmiBroker please send an e-mail directly
to
> > > > SUPPORT {at} amibroker.com
> > >
>
> > > > For other support material please check
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> > > > http://www.amibroker.com/support.html
>
> > >
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>
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> >
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> >
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> >
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________________________________
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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:
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>
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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:
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