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RE: [amibroker] Backtester not following some entry signals



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Hi Tomasz,
 
I understand I made a mistake; I do think the documentation could be a tad clearer. I did, in fact, read the documentation, and misunderstood it on my first run through. It was just a suggestion.
 
-Ed
-----Original Message-----
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Tomasz Janeczko
Sent: Tuesday, March 14, 2006 4:16 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Backtester not following some entry signals

Ed,
 
This is exactly the way it should work. The lack of reading the documentation by the user does not constitute program bug.
You are changing settings without reading documentation.
If you do not want to read docs, at least DO NOT CHANGE DEFAULTS.
 
There is another setting that you should leave at DEFAULT settings, it is "Allow position size shrinking" which is
by default TRUE and should remain TRUE for 90% of cases.

Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
Sent: Tuesday, March 14, 2006 9:38 AM
Subject: RE: [amibroker] Backtester not following some entry signals

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
-----Original Message-----
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Graham
Sent: Tuesday, March 14, 2006 2:01 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Backtester not following some entry signals

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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> > > > >
> > > > >
> > > > >
> > > > >
> > > > >
> > > > >
> > > >
> > > >
> > > > 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
> > > >
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> >
> > To get support from AmiBroker please send an e-mail directly to
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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:
> 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
>
>
>  Visit your group "amibroker" on the web.
>
>  To unsubscribe from this group, send an email to:
>  amibroker-unsubscribe@xxxxxxxxxxxxxxx
>
>  Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
>  To unsubscribe from this group, send an email to:
>  amibroker-unsubscribe@xxxxxxxxxxxxxxx
>
>  Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
>  Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
>
> ________________________________

>
>



--


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


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