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Hi Graham & Dave
I now know what the issue is - it is the amalgamation of two
consecutive Buy signals.
Now, I can investigate the cause and if I am stuck I will come back
to the forum.
Thanks
Graham
>
> 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@> 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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