|
PureBytes Links
Trading Reference Links
|
Thomasz,
I'm not doing
SellPrice = Ref(Open, -1).
I'm doing SellPrice = Ref(Open, 1) because I am selling my stocks next
day of purchase no matter what.
The thing I was missing was the boundchecking option, which Graham
pointed out.
I've disabled that option and confirmed that now backtester picks up a
huge gap down of OVTI on 12/1.
Regards,
intermilan04
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@xxx> wrote:
>
> I forgot:
>
> take also a look at this doc page
> http://www.amibroker.com/f?setoption
>
> specifically "PriceBoundChecking" option
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: "Tomasz Janeczko" <groups@xxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Monday, December 04, 2006 4:37 PM
> Subject: Re: [amibroker] Re: Selling price not set properly sometimes
>
>
> > Intermilan,
> >
> > Terry is right and you are wrong.
> >
> > You are doing the following things wrong:
> >
> > 1. Never delay trade PRICES.
> > SellPrice = Ref(Open, -1 ); // WRONG !
> >
> > Did you read the User's Guide Tutorial about backtesting?
> > http://www.amibroker.com/guide/h_backtest.html
> >
> > it is must-read. Come on this is not so much text inside
> > so it is pretty easy to read it as many times as needed
> > to absorb or at least keep in handy and take a look in case of
> > doubt.
> >
> > And it says:
> >
> > "
> > Controlling trade price
> >
> > [...]
> > During back-testing AmiBroker will check if the values you
assigned to buyprice, sellprice, shortprice, coverprice fit into
> > high-low
> > range of given bar. If not, AmiBroker will adjust it to high price
(if price array value is higher than high) or to the low price
> > (if price array value is lower than low)"
> >
> >
> >
> >> I had to design this way because if I simply buy today and sell
> >> tomorrow morning, AmiBroker cannot make tomorrow's purchase (since my
> >> equity is still held up by yesterday's purchase), then sell my stocks
> >> from today and leave me with cash.
> >
> > Your description is convoluted enough to become un-cipherable
> > ("can not make TOMMORROWS purchaase and THEN SELL stocks from
TODAY"????
> > - do we have time-space-continuum preserved here or not?)
> >
> >
> > There is however no problem in entering / exiting positions in way
described here
> >
> >>> 1. I scan for signals on Day 1.
> >>> 2. I buy signaled stocks at the open on Day 2.
> >>> 3. I sell stocks at the open on Day 3.
> >
> > One thing to watch for is to turn off "allow same day exit".
> >
> > Best regards,
> > Tomasz Janeczko
> > amibroker.com
> > ----- Original Message -----
> > From: "intermilan04" <intermilan04@xxx>
> > To: <amibroker@xxxxxxxxxxxxxxx>
> > Sent: Sunday, December 03, 2006 11:09 PM
> > Subject: [amibroker] Re: Selling price not set properly sometimes
> >
> >
> >> Hi Terry,
> >>
> >> SellPrice = Open would not work, because I'm selling on the same day
> >> of purchase but appending tomorrow's opening price as my SellPrice.
> >>
> >> I had to design this way because if I simply buy today and sell
> >> tomorrow morning, AmiBroker cannot make tomorrow's purchase (since my
> >> equity is still held up by yesterday's purchase), then sell my stocks
> >> from today and leave me with cash.
> >>
> >> Regards,
> >>
> >> intermilan04
> >>
> >> --- In amibroker@xxxxxxxxxxxxxxx, "Terry" <MagicTH@> wrote:
> >>>
> >>> Just set SellPrice = Open;
> >>>
> >>> You are trying to "fix" something that Amibroker already handles
with
> >>> SetTradeDelays.
> >>>
> >>> // Options
> >>> SetTradeDelays(1, 1, 1, 1);
> >>>
> >>> BuyPrice = SellPrice = Open;
> >>> Buy = SomeCondition;
> >>> Sell = Ref(Buy, 0);
> >>>
> >>> --
> >>> Terry
> >>> -----Original Message-----
> >>> From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]
> >> On Behalf
> >>> Of intermilan04
> >>> Sent: Saturday, December 02, 2006 21:15
> >>> To: amibroker@xxxxxxxxxxxxxxx
> >>> Subject: [amibroker] Selling price not set properly sometimes
> >>>
> >>> Hi all,
> >>>
> >>> I have a trading system which is intended to work in the
following way:
> >>>
> >>> 1. I scan for signals on Day 1.
> >>> 2. I buy signaled stocks at the open on Day 2.
> >>> 3. I sell stocks at the open on Day 3.
> >>>
> >>> In a nutshell, here is a portion of my code that are relevant.
> >>>
> >>> // Options
> >>> SetTradeDelays(1, 1, 1, 1);
> >>>
> >>> Buy = SomeCondition;
> >>> BuyPrice = Open;
> >>> Sell = Ref(Buy, 0);
> >>> SellPrice = Ref(Open, 1);
> >>>
> >>> I'm deliberately doing Sell = Ref(Buy, 0); so that I can free up my
> >>> Equity for next day's purchase of new stocks. If I do Ref(Buy, 1),
> >>> the Backtester tries to buy stocks next morning, can't do so
because I
> >>> have positions from previous day, and sell my stocks, and I end up
> >>> with a cash position which could have been utilized on new stocks.
> >>>
> >>> Well, that became a lengthy explanation but the problem is the
> >>> SellPrice = Ref(Open, 1); code. While it works most of the
times, it
> >>> does not work 100%. Here is a situation where it failed;
> >>>
> >>> Ticker Trade Date Price Ex. date Ex. Price % chg
> >>> Profit % Profit
> >>> REGN Long 2006/11/30 21.5 2006/11/30 21.54 0.19% 18
> >>> 0.10%
> >>> OVTI Long 2006/11/30 16.6 2006/11/30 16.04 -3.37% -574
> >>> -3.46%
> >>> TLAB Long 2006/11/30 9.99 2006/11/30 10.05 0.60% 88
> >>> 0.52%
> >>> BRCM Long 2006/11/30 32.88 2006/11/30 32.66 -0.67% -124
> >>> -0.75%
> >>>
> >>> I have no problem with REGN, TLAB, BRCM; the Ex. Price is that
of the
> >>> Open price of next day.
> >>> But for OVTI, the 16.04 exit price is filthily wrong. The stock
> >>> gapped down big time to 14.22, and my AmiBroker quote for OVTI
of 12/1
> >>> shows 14.22 as well, so it is not the case of me having corrupted
> >>> quote data. It appears that the 16.04 exit price is the low
price of
> >>> the day, but then, I never set my SellPrice at Low.
> >>>
> >>> I will greatly appreciate any insights as to why my problem has
> >>> occurred. It's driving me crazy because if things like this
happen, I
> >>> might get rosier results than what reality might bring.
> >>>
> >>> 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 NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> >>> http://www.amibroker.com/devlog/
> >>>
> >>> 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 NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> >> http://www.amibroker.com/devlog/
> >>
> >> 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 NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> > http://www.amibroker.com/devlog/
> >
> > For other support material please check also:
> > http://www.amibroker.com/support.html
> >
> > Yahoo! Groups Links
> >
> >
> >
> >
> >
>
Content-Description: "AVG certification"
No virus found in this incoming message.
Checked by AVG Free Edition.
Version: 7.5.430 / Virus Database: 268.15.6/568 - Release Date: 12/4/2006 3:20 PM
|