[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

[amibroker] Re: Erroneous Position Size and Entry Price



PureBytes Links

Trading Reference Links

Thanks Graham

The values in vaLimitEntry had already been rounded.

For the first trade the values (as per _TRACE) are vaLimitEntry - 
$11.59, Open - $11.36.  I cannot fathom the origin of 11.1357 that is 
in the backtest report for open price, and it is also odd that it is 
4 decimal places.

Additionally, the position size for this trade is virtually double 
what it should be - and then the 2nd & 3rd trades do not have any 
errors.

Cheers

Graham 
>
> 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@xxx> 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);
>




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/