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The reason for " the amalgamation of two consecutive Buy signals."
is that you have specifically REQUESTED SCALING-IN in your formula:
Buy = IIf(Buy, sigScaleIn, 0); // allow pyramidding, recorded
Did you read the manual:
http://www.amibroker.com/guide/h_pyramid.html
"Scaling size is defined by PositionSize variable which in case of scaling defines not absolute positionsize but dollar increase or
decrease
IMPORTANT: Please note that backtester treats trade that you scale-in/out as SINGLE trade (i.e. will show single row in trade
list).."
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "Graham Johnson" <grahamj@xxxxxxxxxxxxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Wednesday, January 02, 2008 8:52 AM
Subject: [amibroker] Re: Erroneous Position Size and Entry Price
> 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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Please note that this group is for discussion between users only.
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