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It seems both sigScaleIn and sigScaleOut (or probably any non-zero
value) are treated the same as True for the first Buy signal.
I don't know, but I'm guessing that since those two constants are both
large positive integers (99,998 & 99,999 respectively), the software
is probably just checking for any non-zero value for the first buy
condition.
GP
--- In amibroker@xxxxxxxxxxxxxxx, "markhoff" <markhoff@xxx> wrote:
>
> Hi AB experts,
>
> I observed a strange behaviour in the backtester when using the
> special constants sigScaleIn and sigScaleOut.
>
> According to the manual, "AB treats first sigScaleIn as buy anyway"
> when buy variable is set to sigScaleIn instead of True for the
> position opening. From that, my conclusion would be that if I set the
> variable "Buy = sigScaleOut" before the position is opened (means I
> have zero shares and no "buy = true" signal before), the signal should
> be ignored by the backtester because I cannot reduce my not opened
> position size if I make only long trades. But, with the following code:
>
> //--- cut here ---
>
> Sell = 0;
>
> BarInRange = Status("barinrange");
>
> MonthBegin = (Month() != Ref( Month(), -1 )) AND BarInRange;
>
> FirstPurchase = Cum( MonthBegin ) == 1;
>
> Buy = IIf( FirstPurchase, 1, // buy on begin of month
> IIf( MonthBegin, sigScaleIn, // each month begin increase
> sigScaleOut ) ); // other days decrease position
>
> Filter = 1 ;
>
> AddColumn( IIf( Buy == True, Asc("B"),
> IIf( Buy == sigScaleOut, Asc("O"),
> IIf( Buy == sigScaleIn, Asc("I"), Asc(" " )))), "Signal",
> formatChar );
>
> //--- cut here ---
>
> you can see that the backtester will do a buy on the first bar (which
> is a sigScaleOut signal if it does not on the begin of a month). Then,
> on the second bar the backtester sells the open position.
>
> You can also test the behaviour with a more simple script:
> buy = sigScaleOut;
> sell = 0;
>
> For me it looks quite strange ... why does backtester do a buy and
> herewith increase the position when the command is to decrease?
>
> Note: In the backtester settings you must set Reporting to "detailed
> log" to see what happens ...
>
> Any ideas are welcome!
>
> Thanks,
> Markus
>
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