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Have you checked to see if using the futures mode or points only mode would meet your requirements?
Sid
brentonfx <brentonfx@xxxxxxxxxxx> wrote:
Jerry
I have this line in my code, but that doesn't make it always trade
with that fixed amount, it merely sets the initial equity for the
test as the name suggests. As equity rises or falls during the
test, the backtester uses the current value of equity, and will keep
taking trades until all the current equity is used up.
Looks like I shall have to try to learn how to do it with the custom
backtester. Once again, any help with this appreciated.
Regards
Brenton
--- In amibroker@xxxxxxxxxxxxxxx, "Jerry Laster" wrote:
>
> Have you tried, SetOption( InitialEquity, 100000 ) at the begining
of the
> code?
> That will not take into account any loses, but will always trade
with that
> fixed amount.
> Jerry
>
> On Mon, 08 Jan 2007 23:09:39 -0500, brentonfx
> wrote:
>
> > Graham
> >
> > I don't actually want to size the trades based on equity at all.
> > What I want to do is size the trades based on average turnover of
> > the stock in question, so I take bigger trades in higher turnover
> > stocks and smaller trades in lower turnover stocks. I then want
to
> > take as many trades as I can until I have committed an amount to
the
> > market equivalent to my initial equity.
> >
> > Even if I size trades off of initial equity, for example using a
> > fixed % of initial equity risked per trade, or in other words a
> > fized dollar risk per trade, the backtester will take trades
until
> > all the current equity is utilised. So as time progresses the
> > backtester will allow more than the initial equity to be
committed
> > to open trades. The only way I can see to limit it is using
> > MaxOpenPositons, but I don't want to limit the actual number of
> > trades, just the total amount of dollars committed to trades.
> >
> > What I was hoping was something as simple as
> > SetOption("MaxDollarsInTrades",100000);
> >
> > Any hints on how to do it using the custom backtester?
> >
> > Regards
> > Brenton
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, Graham wrote:
> >>
> >> Why not just size the trades based on the initial equity rather
> > than current
> >> equity
> >>
> >>
> >> --
> >> Cheers
> >> Graham
> >> AB-Write >< Professional AFL Writing Service
> >> Yes, I write AFL code to your requirements
> >> http://www.aflwriting.com
> >>
> >> On 09/01/07, brentonfx
wrote:
> >> >
> >> > Tomasz
> >> >
> >> > Thank you for the reply, I am very very new at the custom
> >> > backtester, so shall have to see if I can modify the example
to
> >> > suit. If anyone has actually coded the custom backtester to
not
> >> > compound profits, would they mind sharing how to do it?
Thanks.
> >> >
> >> > I thought this may have been supported simply in Amibroker by
> >> > setting an option somewhere that I had not managed to find.
> >> >
> >> > I think it is very important to be able to test without
> > compounding
> >> > profits for a couple of reasons.
> >> >
> >> > Firstly, if you do compound profits, and use position sizing
> > based
> >> > on your current equity, then trades that occur later in the
> > backtest
> >> > have a larger weighting on the overall performance of the
system
> >> > than those that occur earlier because they have larger
position
> >> > sizes. Even if position sizes are not based on current
equity,
> > more
> >> > trades can be taken later in the backtest because more equity
is
> >> > available. So backtest results are always influenced more my
> > trades
> >> > that occur later in the test than by those that occur earlier.
> > When
> >> > I test I want all trades to have equal influence on the
overall
> >> > results regardless of when they occurred.
> >> >
> >> > Secondly, performance measures such as K-Ratio that are
looking a
> >> > straightness of the equity curve, or Sharp Ratio looking for
> >> > consistency of returns, will not work correctly if profits are
> >> > compounded. A compounded equity curve would ideally be
> > exponential
> >> > in shape, not the straight line that K-Ratio is looking for.
So
> > for
> >> > these type of measures to work correctly it is necessary to
use a
> >> > fixed float value right through the test.
> >> >
> >> > Thirdly, in real trading, all profits can not be compounded
all
> > the
> >> > time, as there is a requirement to pay tax on profits (unless
you
> >> > are luck enough to live in a tax free world!).
> >> >
> >> > These are just my thoughts, I would be interested to hear
other
> >> > peoples opinions.
> >> >
> >> > Regards
> >> > Brenton
> >> >
> >> >
> >> > --- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko"
> >> > wrote:
> >> > >
> >> > >
> >> > > Hello,
> >> > >
> >> > > Custom backtester and it is pretty easy.
> >> > > This example
> >> > > http://www.amibroker.com/kb/2006/03/06/re-balancing-open-
> > positions/
> >> > >
> >> > > can be easily modifed to achieve what you after.
> >> > >
> >> > >
> >> > > Best regards,
> >> > > Tomasz Janeczko
> >> > > amibroker.com
> >> > > ----- Original Message -----
> >> > > From: "Terry"
> >> > > To:
> >> > > Sent: Monday, January 08, 2007 4:21 PM
> >> > > Subject: RE: [amibroker] Not Compounding profits in
backtester
> >> > >
> >> > >
> >> > > > Custom backtest procedure can do this...not a simple
project.
> >> > > > --
> >> > > > Terry
> >> > > > -----Original Message-----
> >> > > > From: amibroker@xxxxxxxxxxxxxxx
> >> > [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf
> >> > > > Of brentonfx
> >> > > > Sent: Monday, January 08, 2007 05:10
> >> > > > To: amibroker@xxxxxxxxxxxxxxx
> >> > > > Subject: [amibroker] Not Compounding profits in backtester
> >> > > >
> >> > > > Hi
> >> > > >
> >> > > > I there a way to stop the backtester from compounding
> > profits?
> >> > > >
> >> > > > I want to simulate taking out all of my profits as they
are
> >> > earned,
> >> > > > and continuing to trade with only my initial equity, for
> > example
> >> > > > $100k. If I use fixed trade size of say $25k it's easy, I
> > just
> >> > set
> >> > > > the max open positions to 4. But I want to test a system
> > that
> >> > uses
> >> > > > variable trade sizes, and if I've taken trades of less
than
> > $25k
> >> > then
> >> > > > I want to be able to take more than 4 trades.
> >> > > >
> >> > > > If I don't limit the max open positions, the backtester
just
> >> > takes
> >> > > > more and more positions at once as the test progresses and
> >> > equity
> >> > > > grows, so my market exposure ends up being way more than
the
> >> > $100k max
> >> > > > that I want to limit it to at any time.
> >> > > >
> >> > > > Is there a way to do this?
> >> > > >
> >> > > > Thanks
> >> > > > Brenton
> >> > > >
> >> > > >
> >> > > >
> >> > > >
> >> > > > 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
> >> >
> >> >
> >> >
> >> >
> >>
> >
> >
>
>
>
> --
> Kind regards,
> Jerry
>
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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