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PositionScore works correctly, but if you use PositionScore to modify
the PositionSIZE, then this is done on the trading day and you have that
set to 1,1,1,1. So, you would see the effect you describe. In essence,
it looks forward a day.
Lest I get in trouble with TJ, if this is your problem it just cannot be
coded that way. Instead of modifying PositionSize, just make
PositionScore part of your Buy statement to block certain trades.
If you are not doing the above, then you'll have to post code to
evaluate.
Have you tried the CHECK button in the editor? It needs to say you are
not using forward looking code. If it does say you are looking into the
future, then you have to find that code and eliminate it (if it affects
Buy/Sell code).
--
Terry
-----Original Message-----
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On
Behalf Of intermilan04
Sent: Wednesday, May 31, 2006 23:58
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Backtester picks wrong stocks
Hi all,
I have a daytrade system which buys at open, sells at close.
The system has SetTradeDelays(1, 1, 1, 1);
The idea here is I download the market data at night, scan for signals
then place market orders overnight so I will buy at open the next day.
The problem I'm facing is this:
Suppose I run my system at night and it signals Stock A, B, and C. I
place orders and buy them tomorrow morning. The following night, I
run backtest and see which ones my backtester picked. Strangely, the
backtester does not always pick out Stock A, B, and C, despite having
signaled them the night before.
I am ranking my signals by PositionScore variable, but criteria used
by PositionScore looks at past quotes, not future quotes.
Has anyone explanation as to why this happens? If the backtester does
not pick what it had signaled, it is a grave situation because you
can't really follow with the system no matter how good it is.
Thank you in advance,
intermilan04
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