|
PureBytes Links
Trading Reference Links
|
A trade signal occurs on the day the conditions are correct
A trade entry in your backtest occurs when you have the trade
conditions occur in accordance with your settings for that backtest,
just like you would have in your trading. A buy in a backtest is not a
signal, but the trade entry. Backtests are meant to simulate your real
trading method.
If you have a 1 bar delay setting then your signal occurs on one day
and entry is on the enxt day.
If you have maxopenpositions set to 10 and you already have 10 open
trades in the backtest, then no signal wil be taken in thebacktest,
just like in real trading.
If you ahve $100k equity, and $97k is alrady in open trades and the
next signal requires a trade size of $10k then you will not trade it,
the signal is ignored.
If you want to maych backtest with your scan then you must have the
settings then same
--
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 26/07/06, intermilan04 <intermilan04@xxxxxxxxx> wrote:
> 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
> > > > > > >
> > > > > > >
> > > > > > >
> > > > > > >
> > > > > > >
> > > > > > >
> > > > > > >
> > > > > > >
> > > > > >
> > > > >
> > > > >
> > > > >
> > > > >
> > > > >
> > > > >
> > > > >
> > > > >
> > > > > 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
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> >
>
>
>
>
>
>
> 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
>
>
>
>
>
>
>
|