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Tomasz,
I'm referencing future quote purposely.
Let me explain why I'm doing so.
1. Suppose I run my system on Monday and get AAAA, BBBB, and CCCC as
"buy" for Tuesday.
2. I buy AAAA, BBBB and CCCC on Tuesday. I run my system Tuesday
night and get DDDD, EEEE as "buy" for Wednesday.
3. I sell AAAA, BBBB and CCCC on Wednesday.
The problem is that the Backteter does not buy DDDD and EEEE on
Wednesday, since my equity is locked up by AAAA, BBBB and CCCC.
So, I'm generating Sell signal of AAAA, BBBB and CCCC on Monday. From
the Backtester's point of view, I have sold AAAA, BBBB, CCCC on
Tuesday when in real life I'm holding till Wednesday morning.
Is that going to be an issue? No, because I'm assigning my exit price
as Wednesday's Open, which is exactly when I will be selling, anyway.
And also, because the stocks are "sold" on Tuesday, the backtester
will buy DDDD and EEEE on Wednesday.
Hope it helps in clarifying what I'm trying to do.
I welcome better implementation of what I'm trying to do, but the
method you described runs into the same problem; Backtester does not
buy DDDD and EEEE.
Regards,
intermilan04
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@xxx> wrote:
>
> > 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@xxx>
> 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@> 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@>
> >> 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@>
> >> > 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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