[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

RE: [amibroker] Backtest Settings



PureBytes Links

Trading Reference Links

Probably your formula looks into the future, but see below for some
comments on the settings following //
--
Terry
-----Original Message-----
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On
Behalf Of csvirtual
Sent: Friday, April 28, 2006 09:02
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Backtest Settings

Hi,

have some very very astronomous results when doing backtests. I think
the problem are the settings.

I want to backtest the fdax (future) on 5 minute data. 20000 Euro are
in the account and should be used for every trade.
Pyramiding should not be allow (it's not possible when I enter th
trade with all equity available!!)

the fdax is around 6000 point and one point is worth 25 euros. the
minimum price change is 0.5 

On IB the margins are:

intraday initial        6900
intraday maintenance    5525
overnight initial      13800
overnight maintenance  11050

You need to right click on the symbol you are trading and set these
items correctly in there (or put them in your code directly, but I
prefer the former). You should use 6900 for the margin deposit unless
trading overnight in which case you'd use 13800. You also need to set
tick size and point value and round lot size = 1 in Information.

My Amibroker settings are:

Min. shares: 1
Min. pos. value: 0
allow position size shrinking: no 
//OK with futures since minimum position size is = 1 contract and
requires margin deposit amount of equity to trade.
 
active stops immediately: no
reverse entry signal forces exit: yes
allow same bar exit: yes
futures mode: yes
pad and align all data to reference symbol: no
round lot size: 1 ( is this right??)
//In the case of futures, this means to buy contracts in groups of 1
which is right for NQ. I am not familiar with 4X. Stocks is often set to
100 to buy in round lots.

Tick size: 0.5
//Right, but use the Information settings referenced above.

$pershare/contract: 2 (for halfturn, right??)
//Right

account margin: 20 (what does this mean exactly??)
//Should be 100. Futures may not even use this setting. 100 = no margin.

Portfolio->max. open positions: 1
portfolio-> disable trade size limit when bar volume is zero: yes
//Assumes you have no volume data and/or don't care what it is and/or
don't have any limits set in AA/Settings/Portfolio tab


so what is wrong with the settings?? 
//See first comment at the top

thanks in advance
Chris








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



 




------------------------ Yahoo! Groups Sponsor --------------------~--> 
GFT Forex Trading Accounts As low as $250 with up to 400:1 Leverage. Free Demo.
http://us.click.yahoo.com/lpv1TA/jlQNAA/U1CZAA/GHeqlB/TM
--------------------------------------------------------------------~-> 

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

<*> To visit your group on the web, go to:
    http://groups.yahoo.com/group/amibroker/

<*> To unsubscribe from this group, send an email to:
    amibroker-unsubscribe@xxxxxxxxxxxxxxx

<*> Your use of Yahoo! Groups is subject to:
    http://docs.yahoo.com/info/terms/