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> I'm not doing
> SellPrice = Ref(Open, -1).
>
> I'm doing SellPrice = Ref(Open, 1)
Ref( Open, 1 ) is even worse. It references future.
(You are trying to trade TODAY on TOMMORROW'S prices)
*Never, ever* delay/future reference trading price arrays because
this is fundamentally wrong. Delay SIGNALS, not prices.
You should delay THE SIGNAL instead:
Sell = Ref( Sell, -1 ); // correct -> trade ONE BAR LATER
SellPrice = Open; // price = CURRENT day open
The ability to specify trade prices is provided to allow to implement
stop/limit orders.
If you delay/future reference prices then statistics are wrong (for example if
signal was on friday you should trade on next MONDAY,
not on friday using next monday price) - stats showing
average trade length, excursions (MAE/MFE) are all wrong,
because in reality you would exit your trades ONE DAY LATER.
Backtest formula should be coded so it enters/exits trades EXACTLY at the same
time as in reality. If you write your formula differently - it is wrong and results
are not reproducible in reality.
By the way if you used Tools->Check function in AFL editor it would
tell you that your formula is wrong because it references future.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "intermilan04" <intermilan04@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Monday, December 04, 2006 7:41 PM
Subject: [amibroker] Re: Selling price not set properly sometimes
> 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
>> >
>> >
>> >
>> >
>> >
>>
>
>
>
>
> 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
>
>
>
>
>
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