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Hi all,
I think I have a case where the backtester does not "see" all signals
which appear when I scan for signals. Here are the details:
OS: Windows XP
Amibroker: 4.80.2
I have a long system with the following setup:
SetOption("InitialEquity", 30000);
SetOption("AllowSameBarExit", True);
SetOption("ActivateStopsImmediately", True);
SetOption("CommissionMode", 2);
SetOption("CommissionAmount", 7);
SetTradeDelays(1, 1, 1, 1);
PosQty = 4;
SetOption("MaxOpenPositions", PosQty);
PositionSize = -100/PosQty;
Here is the result of running "Explore" on 2006/7/21 with the
following setup, sorted by PositionScore:
Filter = Buy;
AddColumn(PositionScore, "PositionScore", 1.4);
Ticker Date/Time PositionScore
BTU 2006/7/21 1.0794
WFT 2006/7/21 1.0648
CXG 2006/7/21 1.0565
CNX 2006/7/21 1.0557
EXPD 2006/7/21 1.0554
VSH 2006/7/21 1.0543
NYNY 2006/7/21 1.0541
TSAI 2006/7/21 1.0465
CMG 2006/7/21 1.0356
TWMC 2006/7/21 1.0289
SWFT 2006/7/21 1.0282
ECOL 2006/7/21 1.0277
FLOW 2006/7/21 1.0271
TEN 2006/7/21 1.0171
PQ 2006/7/21 1.0168
SHFL 2006/7/21 1.0055
BCR 2006/7/21 1.0036
CNW 2006/7/21 1.0006
I then backtested the system between 2006/1/1 to 2006/7/24. Here is
the result from 7/24:
2006/07/24,
Entry signals(score):CXG=Buy(1.05648), NYNY=Buy(1.0541),
TWMC=Buy(1.02888), SWFT=Buy(1.02825), FLOW=Buy(1.02709), BCR=Buy(1.00364),
Exit signals:CNW=Sell, ECOL=Sell,
Enter Long, CXG, Price: 24.6, Shares: 300, Commission: 7, Rank:
1.05648, Equity 37812.5, Margin Loan: 0, Fx rate: 1
Enter Long, NYNY, Price: 5.4, Shares: 1700, Commission: 7, Rank:
1.0541, Equity 37798.5, Margin Loan: 0, Fx rate: 1
Enter Long, TWMC, Price: 5.54, Shares: 1700, Commission: 7, Rank:
1.02888, Equity 37784.5, Margin Loan: 0, Fx rate: 1
Exit Long, ECOL, Price: 21.33, (Avg. exit pr. 21.33), Shares: 400,
Commission: 7, (Total comm.: 14), Profit: -230 (-2.63 %), Entry
rank:1.05599, Equity: 37784.5, Fx rate: 1
3 Open Positions: , CXG (+300), , NYNY (+1700), , TWMC (+1700),
Equity: 38836.5, Cash: 11827.5
If you see the Entry signals(score) line, the Backtester clearly
missed BTU and WFT, which scored the highest PositionScore. The
Backtester missed other signals too. I am aware that Backtester does
not always take position in what are being signaled, but it seems to
me that the Backtester doesn't even see the same thing as "Scan" or
"Explore."
I am willing to disclose more codes if necessary to troubleshoot.
Any help regarding this matter is greatly appreciated.
Regards,
intermilan04
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