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Hi Graham,
Thank you very much for your reply.
I took your advice and changed the filter to
filter = Ref (Buy, -1);
PositionScore = Ref(SomeCondition, -1);
to be able to explore what the Backtester takes, in hindsight.
I still feel it's kinda strange that, Scanning for signals on 7/21
does not match with Exploring for signals of 7/21 on 7/24...
Might anyone know what could be causing the problem? Is there a way
to match the above? In the meantime, I'm trying to figure out myself
by backtesting/exploring/scanning but haven't figured yet.
Regards,
intermilan04
--- In amibroker@xxxxxxxxxxxxxxx, Graham <kavemanperth@xxx> wrote:
>
> The signal is what explore or scan will see
> Backtest will take the trade as per your settings (ie 1 bar delay).
> If you want expore to include the delay then you need to include this
> delay in your filter eg
> filter = ref(buy,-1);
>
> --
> 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:
> > Yes I do. I provided my "Explore" results of 7/21, and "Backtest"
> > result of 7/24, which is the next trading day.
> >
> > My plan is to buy stocks that had been signaled a day before, so
> > Backtester "seeing" the same thing as "Explore" is critical.
> > As I had said, I understand that the Backtester doesn't necessarily
> > take all siginaled positions due to constraints, but at least it needs
> > to "recognize" the same things as "Explore."
> >
> > Regards,
> >
> > intermilan04
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, Graham <kavemanperth@> wrote:
> > >
> > > 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@> 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@> 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@> 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
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> > > >
> > > >
> > > > 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:
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> >
> > 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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