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Tomasz:
many thanks for your kind reply. Have just traced on DebugView with a
simple signal viewer custom backtester several bars to see how and
what signals appear. No processing at all done in the custom
backtester code below.
The trace shows signals on 30 min bars in accordance with the chart.
Switching to 1 hour bars, the chart shows signals but no signals are
appearing on the backtester trace in some cases, as attached below. In
some others, scaleout signals (6) get changed to buy signals (1) or to
short signals (3) depending on the trade side. Positions remain open
although posSize is 0 (-1000000).
Am I missing something important? bo.PreProcess() appears to change
and remove signals. How do you suggest I shall move forward in custom
backtesting scaleout and sell signals on the same bar?
Thank you for your advice since at this point I'm a bit lost.
Best regards,
Fernando Martin
30 min trace:
[2124] bar=144 080318,125900
[2124] bar=145 080318,132900
[2124] bar=146 080318,135900
[2124] bar=147 080318,142900
[2124] bar=148 080318,145900
[2124] bar=149 080318,152900
[2124] bar=150 080318,155900
[2124] bar=151 080318,162900
[2124] Type=1, Price=1311.750, posSize=-2002
[2124] bar=152 080318,165900
[2124] Type=6, Price=1312.500, posSize=-2001
[2124] bar=153 080318,172900
[2124] bar=154 080318,175900
[2124] bar=155 080318,182900
[2124] bar=156 080318,185900
[2124] bar=157 080318,192900
[2124] Type=2, Price=1317.750, posSize=-10000000000
[2124] bar=158 080318,195900
[2124] bar=159 080318,202900
[2124] bar=160 080318,205900
[2124] bar=161 080318,212000
[2124] Type=1, Price=1334.250, posSize=-2002
[2124] bar=162 080318,215900
[2124] bar=163 080318,222900
[2124] Type=2, Price=1333.250, posSize=-10000000000
[2124] bar=164 080318,232900
[2124] bar=165 080318,235900
[2124] bar=166 080319,002900
[2124] bar=167 080319,005900
60 min. trace:
[2124] bar=220 080318,125900
[2124] bar=221 080318,135900
[2124] bar=222 080318,145900
[2124] bar=223 080318,155900
[2124] bar=224 080318,165900
[2124] bar=225 080318,175900
[2124] bar=226 080318,185900
[2124] bar=227 080318,195900
[2124] bar=228 080318,205900
[2124] bar=229 080318,215900
[2124] bar=230 080318,222900
[2124] bar=231 080318,235900
[2124] bar=232 080319,005900
Custom backtester code:
if(Status("action") == actionPortfolio){
bo = GetBacktesterObject(); bo.PreProcess();
// debug initialize bar date-time
dn = DateNum();
tn = TimeNum();
for(bar=0; bar<BarCount; bar++){
// debug bar number, date, time
_TRACE(StrFormat("bar=%1.0f %06.0f,%06.0f\n", bar ,dn[bar]%
1000000,tn[bar]));
// explore signals in bar
for( sig=bo.GetFirstSignal(bar); sig; sig=bo.GetNextSignal(bar) ){
// debug signals
_TRACE(StrFormat("Type=%1.0f, Price=%4.3f, posSize=%2.0f\n", sig.Type,
sig.Price, sig.PosSize));
}
bo.ProcessTradeSignals(bar);
bo.UpdateStats(i, 1);
bo.UpdateStats(i, 2);
}
bo.PostProcess();
}
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@xxx> wrote:
>
> Hello,
>
> You can do that but only using custom backtester interface.
> Regular backtester allows one scaleout or exit on single bar, not both.
>
> This sample shows how to perform scaling using custom backtester
> http://www.amibroker.com/kb/2006/03/06/re-balancing-open-positions
> This is more general doc:
>
http://www.amibroker.org/userkb/2008/03/16/amibroker-custom-backtester-interface-2
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: "martinfernando66" <clogs@xxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Tuesday, March 18, 2008 12:56 PM
> Subject: [amibroker] Backtester: same bar scaleout and sell signals
>
>
> > Coded a system that is flexible to take profit (Buy=scaleout) and exit
> > on the same bar (sell=3) if conditions are met.
> > After several tries with different periodicity (15 min, 30 min, 1
> > hour) appears that backtester is not processing more than one signal
> > per bar, leaving open the position while on the chart the system is
> > closing it.
> > Missed some setting? If not, would be very grateful if someone could
> > confirm if standard backtester is only processing one signal per bar.
> > Thanks,
> > Fernando Martin
> >
> >
> >
> > ------------------------------------
> >
> > 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
> >
> >
> >
>
------------------------------------
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