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Scan gives all raw trade signals
Portfolio backtest gives actual trades allowable given the limits of
Equity/Trade Size, MaxOpenPositions and any other
settings/options/code specified that will affect the trades taken.
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Graham
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Yes, I write AFL code to your requirements
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On 25/07/06, intermilan04 <intermilan04@xxxxxxxxx> wrote:
> 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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