|
PureBytes Links
Trading Reference Links
|
As part of the migration process from Wealth-Lab, I've been running
some parallel backtesting.
Symbol currently used is JBH(ASX) for period 01/07/2007 to 31/12/2007.
Both AB & WLD open long trades on 26/07/2007, 13/11/2007 &
19/12/2007, and the exit dates match.
The 2nd & 3rd trades have matching Entry & Exit Prices and the
position sizes are within tolerance.
Trade for 26/07/2007 is the problem, the AB report shows entry price
$11.1357 and Position Size of $19988.60, whereas it should have been
$11.36 and $10000.00.
I've been using _TRACE to follow the calculations and the logic
appears to be correct so, ther must be something that I haven't got
quite right. Any ideas, please?
The relevant code is
//================== Position Size ==================
vMaxPosn = 10000;
vMaxRisk = 2000;
vMaxTOPc = 3;
vaPosnSize = vMaxRisk / Ref(vaIStopVal, -1) * Ref(vaLimitEntry, -1);
vaPosnSize = Min(vaPosnSize, vMaxPosn);
vaPosnSize = Min(vaPosnSize, Ref(vaAvgTO, -1) * vMaxTOPc / 100);
SetPositionSize(vaPosnSize, spsValue);
//_TRACE("Position Size: " + vaPosnSize);
//================== Trade ==================
Buy = Ref(vaValidEntry,-1) AND Low <= Ref(vaLimitEntry, -1);
Buy = IIf(Buy, sigScaleIn, 0); // allow pyramidding, recorded as one
position
BuyPrice = Min(Open, Ref(vaLimitEntry, -1));
//_TRACE("Open: " + Open + " | Limit Entry: " + Ref(vaLimitEntry, -1)
+ " | Buy Price: " + BuyPrice + " | T/O: " + Ref(vaAvgTO, -1) + " |
PosnSize: " + VaPosnSize);
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/
|