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have you you've got enough capital to buy all the signals
_____
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf
Of intermilan04
Sent: Tuesday, 25 July 2006 4:24 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: Scan vs Backtest
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@xxxxxxxxx <mailto:amibroker%40yahoogroups.com> ps.com,
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. <http://e-wire.net.au/~eb_kavan/ab_write.htm>
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.amibroke <http://www.amibroker.com/support.html>
r.com/support.html
> >
> >
> > Yahoo! Groups Links
> >
> >
> >
> >
> >
> >
> >
> >
>
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