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Re: [amibroker] Backtesting and TimeFrameExpand(xxx,inWeekly, expandFirst);
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Hello,
Thanks for making it clearer, now I understand it
:) Sorry for this, but English is not my native language and I
understood "looking in to future" in the different way (more like predict
future,than use future data).. My fault..
Thanks for your time
MR
----- Original Message -----
Sent: Wednesday, April 19, 2006 6:45
PM
Subject: Re: [amibroker] Backtesting and
TimeFrameExpand(xxx,inWeekly, expandFirst);
Hello,
I think I made myself prefectly clear in the help
file I have referenced previously, but let me make it clearer:
you must NOT use expandFirst in your
trading system except one case: getting opening price.
Every other price field or indicator (that is usually based
on CLOSING price) will effectively look into the future if you use
expandFirst.
MACD is based ON CLOSING price. You MUST NOT use it
with expandFirst in weekly mode unless you delay the signal (trading) by one
week.
AFL produces consistent results no matter in what mode you
run it (exploration, indicator, backtest) so all functions behave the
same
always. Imagine the mess when each function worked
differently in different mode.
Best regards, Tomasz Janeczko amibroker.com
----- Original Message -----
Sent: Wednesday, April 19, 2006 6:19
PM
Subject: Re: [amibroker] Backtesting
and TimeFrameExpand(xxx,inWeekly, expandFirst);
Hello Tomasz,
I read user guide and I thought that I
understand it.. But I thought,that backtesting should work like in
the realtime.. But with expandFirst it works different.. Maybe Im
confused, so I'll try explain what happening me..
Realtime:
1. At monday, stock going higher -> so
weekly MACD (with expandFirst) is higher then previous
week
2. my system give me buy signal
3. At tuesday, stock fall down -> so
weekly MACD (with expandFirst) change to be lower then previous
week
4. buy signal from monday
disappear
In backtesting,
its not buy signal and it not buy stock, but it should buy
stock at monday
Tommorow, I'll try make some simple example to
better explain this problem..
Thank you very much...
MR
----- Original Message -----
Sent: Wednesday, April 19, 2006 2:19
PM
Subject: Re: [amibroker] Backtesting
and TimeFrameExpand(xxx,inWeekly, expandFirst);
Hello,
along with TimeFrameExpand, quote:
TimeFrameExpand( array, interval, mode
= expandLast ) - expands time-compressed array from 'interval' time frame
to base time frame ('interval' must match the value used in
TimeFrameCompress or TimeFrameSet) Available modes: expandLast - the
compressed value is expanded starting from last bar within given period
(so for example weekly close/high/low is available on Friday's
bar) expandFirst - the compressed value is expanded starting from first
bar within given period (so for example weekly open is available from
Monday's bar) expandPoint - the resulting array gets not empty values
only for the last bar within given period (all remaining bars are Null
(empty)).
Caveat: expandFirst used on price different than open
may look into the future. For example if you create weekly HIGH series,
expanding it to daily interval using expandFirst will enable you to know
on MONDAY what was the high for entire
week.
Best regards, Tomasz Janeczko amibroker.com
----- Original Message -----
Sent: Wednesday, April 19, 2006
9:04 AM
Subject: [amibroker] Backtesting
and TimeFrameExpand(xxx,inWeekly, expandFirst);
Hi all,
First, thanks for AB.. Its really good
appliacations and I'm spending a lot of time with it. Anyway, looks
like I found some backtesting bug..
I was really suprised
with results from my new system, but later I found that backtesting
is cheating probably.. Im using weekly timeframe to compute MACD and
then expanding it to daily and I wanted use expandFirst.. So I'm
getting signals after monday.. I know, that if week will continue in
wrong direction,then signal disappear.. Its ok, but when I use
backtesting, it probably use values for whole next week and use
signal from monday (ie first day of this week).. So backtesting
works with whole week,but buying at monday and this is why I getting
so good results (85% wiinners, 250% annual return¨)
Could
somebody confirm this and help me to get real results ? Or its bug
(feature) in the AB ?:)
thank you very much..
Roarke
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