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PreProcess has nothing to do with that.
I wrote you before:
>> >
>> > 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:
This means that if you want to scaleout and exit on the same bar
you need to use
ScaleTrade
and
Enter/ExitTrade
on your own in custom backtester. This is is know as low-level custom backtester.
In this case you don't use signals from first phase at all. See this:
http://www.amibroker.org/userkb/2008/03/16/amibroker-custom-backtester-interface-2
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "martinfernando66" <clogs@xxxxxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Thursday, March 20, 2008 3:39 PM
Subject: [amibroker] Re: Backtester: same bar scaleout and sell signals traced (2)
> For the traces tried all SetBacktestMode parameters, including the new
> ones 2.
> Also traced the signals delivered by the system, which are ok.
> Those signals get transformed by bo.PreProcess() if on the same bar,
> altering
> backtest postprocess while leaving positions open.
> Since scaleout is removed, to software trap the signals on a custom
> backtester a workaround is required.
> By chance, is there an undocumented 'transparent' backtester mode so
> that PreProcess leaves signals
> untouched for the custom backtester?
> Thanks again.
>
> --- In amibroker@xxxxxxxxxxxxxxx, "martinfernando66" <clogs@xxx> wrote:
>>
>> 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@ 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-i\
> nterface-2
>> >
>> > Best regards,
>> > Tomasz Janeczko
>> > amibroker.com
>> > ----- Original Message -----
>> > From: "martinfernando66" clogs@
>> > 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
>> > >
>> > >
>> > >
>> >
>>
>
>
>
> ------------------------------------
>
> 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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