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Graham,
I tried backtesting for 7/24 alone (i.e. the Date Range is from 7/24
and to 7/24) the Backtest still did not enter on BTU or WFT, which
were the top 2 PositionScore according to Scan.
I will attempt to explain what's happening with the following scenarios:
Scenario 1:
- Scan finds 10 signals for a particular day.
- Backtester recognizes the same 10 signals as Scan, but only take 4
positions due to constraints.
This scenario is OK.
Scenario 2:
- Scan finds 10 signals for a particular day.
- Backtester only recognizes 7 signals out of 10, and take 4 positions
from the 7 signals.
This, is what's happening to me and I'm trying to figure out why.
Regards,
intermilan04
--- In amibroker@xxxxxxxxxxxxxxx, Graham <kavemanperth@xxx> wrote:
>
> 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@xxx> 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@> 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@> 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
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> > > > > > > >
> > > > > > > > For other support material please check also:
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