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do you have delays in the settings? looks like you have 1 bar delays setting
--
Cheers
Graham
AB-Write >< Professional AFL Writing Service
Yes, I write AFL code to your requirements
http://e-wire.net.au/~eb_kavan/ab_write.htm
On 25/07/06, intermilan04 <intermilan04@xxxxxxxxx> wrote:
> Hi Graham,
>
> Thank you for your very prompt reply.
> I am sorry if I'm mistaken, but my understanding was that the Detailed
> Trade Log of below
>
> 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),
>
> contain all the raw trade signals that "Scan" would see, and Backtest
> picks from the pool?
>
> What's happening to me is that the Backtester doesn't see the same
> Entry signals as Scan.
>
> Regards,
>
> intermilan04
>
> --- In amibroker@xxxxxxxxxxxxxxx, Graham <kavemanperth@xxx> wrote:
> >
> > 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.
> >
> >
> > --
> > Cheers
> > Graham
> > AB-Write >< Professional AFL Writing Service
> > Yes, I write AFL code to your requirements
> > http://e-wire.net.au/~eb_kavan/ab_write.htm
> >
> >
> > On 25/07/06, intermilan04 <intermilan04@xxx> 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
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > > 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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