|
PureBytes Links
Trading Reference Links
|
Hi intermilan04,
Did you ever find out how to keep your scan and your backtest
synchronized?
If you did, I would be grateful if you could summarize:
1) What you need to do in the scan.
2) What you need to do in the backtest.
Regards,
Alan
--- In amibroker@xxxxxxxxxxxxxxx, "intermilan04" <intermilan04@xxx> wrote:
>
> 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@> 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@> 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 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
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> Your email settings:
Individual Email | Traditional
<*> To change settings online go to:
http://groups.yahoo.com/group/amibroker/join
(Yahoo! ID required)
<*> To change settings via email:
mailto:amibroker-digest@xxxxxxxxxxxxxxx
mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|