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Is it possible to get a analysis of the different the different
reasons why it some of the trades were skipped in any reports that
are available.
I would like to investiate why it missed the trades. any direction
in this regard would be appreciated.
Thanks
Suresh
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <amibroker@xxx>
wrote:
>
> Hello,
>
> Some trades may be skipped due to settings/ insufficient funds,
see:
>
> http://www.amibroker.com/gifs/bt_regular.gif
>
>
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: murthysuresh
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Friday, March 17, 2006 12:24 AM
> Subject: [amibroker] is something wrong with this or is it a bug
>
>
> I have a back test that does a good job. however when i
rightlick on results and select show arrows fo ractual trdes, i get
arrows for trades that were not traded at all.
>
> i have attached a screen shot
>
> http://xs72.xs.to/pics/06115/issueamibroker.jpg
>
>
>
> Pl let me know what did i do wrong.
>
>
>
> my script is
>
>
>
>
>
> SetCustomBacktestProc("");
>
> if(Status("action")==actionPortfolio){
>
> bo=GetBacktesterObject();
>
> bo.backtest();
>
> st=bo.GetPerformanceStats(0);
>
> // Expectancy calculation (the easy way)
>
> // %Win * AvgProfit - %Los * AvgLos
>
> // note that because AvgLos is already negative
>
> // in AmiBroker so we are adding values instead of subtracting
them
>
> // we could also use simpler formula NetProfit/NumberOfTrades
>
> // but for the purpose of illustration we are using more complex
one :-)
>
> expectancy = st.GetValue("WinnersAvgProfit")*st.GetValue
("WinnersPercent")/100 +
>
> st.GetValue("LosersAvgLoss")*st.GetValue("LosersPercent")/100;
>
> // Here we add custom metric to backtest report
>
> bo.AddCustomMetric( "Expectancy ($)", expectancy );
>
> }
>
> //Buy 90 day breakouts
>
> // Suersh
>
> NumColumns = 5;
>
> Period = 14;
>
> // Determines trend direction using DMI indicators
>
> PDIFilter=IIf(PDI(14)>MDI(14),1,0);
>
> // make sure that the slope is going up and greater than 20
>
>
>
> // New 3 month high has occurred in the last 5 days?
>
> NewHighs = IIf(HHV(H,5) >= HHV(H,60), 1,0);
>
> //NewLows = LLV(L,5) <= LLV(L,40);
>
> // Are moving averages lined up correctly? Close > 50 and 200 ma
>
> BullishMAs = IIf(Close >= MA(C,200) AND Close >= MA(C,50), 1,0);
>
> //BearishMAs = IIf(MA(C,10) <= EMA(C,20) AND EMA(C,20) <= EMA
(C,30), 1, 0);
>
> /*
>
> Column0 = ADX(period);
>
> Column0Name = "ADX";
>
> Column1 = IIf(PDIFilter AND NewHighs AND BullishMAs, 1, 0);
>
> Column1Name = "Buy Signal";
>
> Column2 = IIf(Column1 == 1, H + .125, 0);
>
> Column2Name = "Buy Stop";
>
> Column3 = IIf(MDIFilter AND NewLows AND BearishMAs, 1, 0);
>
> Column3Name = "Sell Signal";
>
> Column4 = IIf(Column3 == 1, L - .125, 0);
>
> Column4Name = "Sell Stop";
>
> */
>
> // Filter based on ADX > 20 (trending) and if buy or sell has
triggered
>
> ADXval=IIf(ADX(14)>20,True,False);
>
> //AND PDIfilter AND bullishMas AND (Close<5) AND (MA(V,30)
>200000) AND NewHighs) ;// (Column1 OR Column3);
>
> _TRACE("outsidee buyubg");
>
> //buynotdone=IIf(Buy=0,1,0);
>
> //if (buynotdone AND NewHighs AND PDIFilter AND BullishMAs ){
>
> _TRACE("insude buyubg");
>
> //Buy= NewHighs AND PDIFilter AND BullishMAs ;
>
> Buy=HHV(H,5) >= HHV(H,60) AND Close >= MA(C,200) AND Close >= MA
(C,50) AND ADX(14)>20 AND MA(V,30)>200000 ;
>
> Sell = Close<Ref(Low,-1) AND Close<Ref(EMA(Close,9),-1) AND Buy;
>
> SetTradeDelays( 10,0, 10, 10 ) ;
>
>
>
> //}
>
> //Buy = Low <EMA(Close,9) * 105/100 AND Filter; // ADX(period)
>=20 AND Column1;
>
> //IIf(Buy=1,Sell = Close<Ref(Low,-1),False);
>
> Buy = ExRem( Buy, Sell );
>
> Sell = ExRem( Sell, Buy );
>
>
>
>
> AddColumn(Buy,"Buy");
>
> //AddColumn(Sell,"sell");
>
> AddColumn(BuyPrice,"BuyPrice");
>
> AddColumn(SellPrice,"SellPrice");
>
> AddColumn(HHV(H,5) ,"HHV(H,5) ");
>
> AddColumn(HHV(H,60),"HHVBars ");
>
>
>
>
>
> SetCustomBacktestProc("");
>
> if(Status("action")==actionPortfolio){
>
> bo=GetBacktesterObject();
>
> bo.backtest();
>
> st=bo.GetPerformanceStats(0);
>
> // Expectancy calculation (the easy way)
>
> // %Win * AvgProfit - %Los * AvgLos
>
> // note that because AvgLos is already negative
>
> // in AmiBroker so we are adding values instead of subtracting
them
>
> // we could also use simpler formula NetProfit/NumberOfTrades
>
> // but for the purpose of illustration we are using more complex
one :-)
>
> expectancy = st.GetValue("WinnersAvgProfit")*st.GetValue
("WinnersPercent")/100 +
>
> st.GetValue("LosersAvgLoss")*st.GetValue("LosersPercent")/100;
>
> // Here we add custom metric to backtest report
>
> bo.AddCustomMetric( "Expectancy ($)", expectancy );
>
> }
>
> //Buy 90 day breakouts
>
> // Suersh
>
> NumColumns = 5;
>
> Period = 14;
>
> // Determines trend direction using DMI indicators
>
> PDIFilter=IIf(PDI(14)>MDI(14),1,0);
>
> // make sure that the slope is going up and greater than 20
>
>
>
> // New 3 month high has occurred in the last 5 days?
>
> NewHighs = IIf(HHV(H,5) >= HHV(H,60), 1,0);
>
> //NewLows = LLV(L,5) <= LLV(L,40);
>
> // Are moving averages lined up correctly? Close > 50 and 200 ma
>
> BullishMAs = IIf(Close >= MA(C,200) AND Close >= MA(C,50), 1,0);
>
> //BearishMAs = IIf(MA(C,10) <= EMA(C,20) AND EMA(C,20) <= EMA
(C,30), 1, 0);
>
> /*
>
> Column0 = ADX(period);
>
> Column0Name = "ADX";
>
> Column1 = IIf(PDIFilter AND NewHighs AND BullishMAs, 1, 0);
>
> Column1Name = "Buy Signal";
>
> Column2 = IIf(Column1 == 1, H + .125, 0);
>
> Column2Name = "Buy Stop";
>
> Column3 = IIf(MDIFilter AND NewLows AND BearishMAs, 1, 0);
>
> Column3Name = "Sell Signal";
>
> Column4 = IIf(Column3 == 1, L - .125, 0);
>
> Column4Name = "Sell Stop";
>
> */
>
> // Filter based on ADX > 20 (trending) and if buy or sell has
triggered
>
> ADXval=IIf(ADX(14)>20,True,False);
>
> //AND PDIfilter AND bullishMas AND (Close<5) AND (MA(V,30)
>200000) AND NewHighs) ;// (Column1 OR Column3);
>
> _TRACE("outsidee buyubg");
>
> //buynotdone=IIf(Buy=0,1,0);
>
> //if (buynotdone AND NewHighs AND PDIFilter AND BullishMAs ){
>
> _TRACE("insude buyubg");
>
> //Buy= NewHighs AND PDIFilter AND BullishMAs ;
>
> Buy=HHV(H,5) >= HHV(H,60) AND Close >= MA(C,200) AND Close >= MA
(C,50) AND ADX(14)>20 AND MA(V,30)>200000 ;
>
> Sell = Close<Ref(Low,-1) AND Close<Ref(EMA(Close,9),-1) AND Buy;
>
> SetTradeDelays( 10,0, 10, 10 ) ;
>
>
>
> //}
>
> //Buy = Low <EMA(Close,9) * 105/100 AND Filter; // ADX(period)
>=20 AND Column1;
>
> //IIf(Buy=1,Sell = Close<Ref(Low,-1),False);
>
> Buy = ExRem( Buy, Sell );
>
> Sell = ExRem( Sell, Buy );
>
>
>
>
> AddColumn(Buy,"Buy");
>
> //AddColumn(Sell,"sell");
>
> AddColumn(BuyPrice,"BuyPrice");
>
> AddColumn(SellPrice,"SellPrice");
>
> AddColumn(HHV(H,5) ,"HHV(H,5) ");
>
> AddColumn(HHV(H,60),"HHVBars ");
>
>
>
> 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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>
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