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You have BuyPrice = Min(Open, Ref(vaLimitEntry, -1));, so can only
assume that in this case Open is higher than the vaLimitEntry value,
and thus vaLimitEntry is used.
To get this rounded to correct tick prices then you need to round the
vaLimitEntry, either up(ceil), down(floor) or closest(round) tick
eg something like this rounding up to higher round tick price level
ticksize = 0.01;
BuyPrice = Min(Open, Ceil( Ref(vaLimitEntry, -1) / ticksize ) * ticksize );
The actual trade size in backtest uses the roundlotsize, default is 1,
so the trade will buy whole shares as happens in normal equity
markets. If you trade funds then typically define roundlotsize=0;
which allows part shares and trade size to equal the dollars required.
--
Cheers
Graham Kav
AFL Writing Service
http://www.aflwriting.com
On 02/01/2008, Graham Johnson <grahamj@xxxxxxxxxxxxxxxxxxxxx> wrote:
> 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);
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