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Hi Jim,
It seems like you are in the same or similar situation as me.
One conclusion I have reached is that when I download new data,
sometimes past quotes get updated and affect the result.
Regards,
intermilan04
--- In amibroker@xxxxxxxxxxxxxxx, James Hutchison <phutch@xxx> wrote:
>
> I have experienced this problem also when the setting is
> SetTradeDelays(1, 1, 1, 1). SetOption("MaxOpenPositions", 6);
> PositionSize = -100 / 6;
>
> The system I am working on Trades and sells on open the next
> morning. I have been testing the system each evening after my new
> data is in and I find that some times some of my previous trades
> disappear and are replaced with a different stock. I have used the
> check button and have no future bars. Does this mean I can not use
> my system to find tomorrow's trade or is there an other way.
>
>
> Thank You
>
> Jim Hutchison
>
> At 10:36 PM 6/1/2006, you wrote:
> >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
> >
> >
> >
> >
> >
> >
> >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
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >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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