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Hello,
You should check the archives. It was discussed to death already.
Scan shows RAW signals.
RAW signals are all signals generated without any processing.
Backtester uses TRADES.
TRADE is BUY-SELL or SHORT-COVER pair.
If you have sequence of BUY1-BUY2-BUY3-SELL then it is considered
as single BUY1-SELL pair (a TRADE) - assuming that you don't use pyramiding.
If you use pyramiding, subsequent (redundant) buy signals may be used
to pyramid (scale in) your position.
See also this picture
http://www.amibroker.com/gifs/bt_regular.gif
it shows clearly how signals build trade candidates (buy-sell) and how they are
picked according to user-defined position score.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "intermilan04" <intermilan04@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Wednesday, July 26, 2006 2:14 AM
Subject: [amibroker] Re: Scan vs Backtest
> 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
>> > > > > > > > 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
>> >
>> >
>> >
>> >
>> >
>> >
>> >
>>
>
>
>
>
>
>
> 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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