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So SetBacktestMode(backtestRegular) has made ExRem redundant? Cool. G
Tomasz Janeczko wrote:
> Actually ExRem functions should NOT be used at all in any trading system
> (unless you specifically *need* to convert from state to signal form for some logic).
>
> They are completely redundant and actually are the source of problems point (1).
>
> Specifically they are NOT needed by the backtester! Backtester does this
> job internally way better (because it RESPECTS from/to dates).
> Backtester in regular mode does not enter more than one pos on one symbol at a time:
> http://www.amibroker.com/guide/h_portfolio.html
> therefore ExRems are not needed at all.
>
>>>
>>> Buy=ExRem(Buy,Sell); // REMOVE IT !
>>> Sell=ExRem(Sell,Buy); // REMOVE IT !
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: "Mike" <sfclimbers@xxxxxxxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Wednesday, June 18, 2008 10:10 AM
> Subject: [amibroker] Re: optimisation not working correctly?
>
>
>> Rich,
>>
>> There are a couple of reasons for why your results are not as
>> expected.
>>
>> 1. Misaligned signals due to missing checks for "barinrange".
>> 2. Coding errors.
>> 3. Remaining Open positions skewing the figures.
>>
>> 1. The largest contributor for the "faulty" results is that even
>> though your backtest range is defined as from xxx to yyy, all
>> calculations are still performed over the entire data range. So, your
>> Buy array will contain signals for all bars, even bars that precede
>> your starting date. As such, your counting of bars within your loop
>> will include signals received before the first date of your backtest
>> and your Sell signals will therefore be misaligned.
>>
>> For example; if your backtest started on Feb 1, 2008 and a Buy signal
>> was found on Jan 28, 2008 and again on Feb 5, 2008. Then using a 12
>> bar length, your code would put the first Sell signal on Feb 13, 12
>> days after the Jan 28 Buy instead of 12 days after the Feb 5 Buy.
>>
>> The backtester would later filter out all signals occuring before
>> your start date (e.g. filter out the Jan 28 buy), but would keep
>> those occurring after it (i.e. the Feb 5 Buy and the Feb 13 Sell).
>>
>> The result is that your bars held will now be incorrect. This would
>> have a ripple effect as the ExRem might now end up removing some of
>> your intended Sells and keeping the unintended ones.
>>
>> 2. The next problem is some minor coding errors.
>> 2a. You need to reset the bar count after recognizing a Sell.
>> 2b. You need to set the bar count to 1 after recognizing a Buy.
>>
>> 3. Any remaining open positions are included in the bars held
>> calculations of the backtester. So, if you have open positions that
>> are 3 days old, they will pull down the average 12 day bars held
>> figure to be less than 12.
>>
>> Your modified code should now look something like the following. I do
>> still see the odd long trade. So, something is still not quite right.
>> Might be a case of buy/sell on the same date or something along those
>> lines. But, this should get you a lot closer to where you want to
>> be :)
>>
>> Mike
>>
>> SetTradeDelays( 0, 0, 0, 0 );
>> PositionSize = -10;
>>
>> PB = Optimize( "PB", 0.99, 0.97, 0.998, 0.002 );
>> Length = Optimize( "Length", 12, 3, 15, 1 );
>>
>> InRange = Status( "barinrange" );
>> Cond0 = Ref(InRange, -2);
>> Cond1 = Ref( C, -1 ) < PB * Ref( C, -2 );
>> Cond2 = C > Ref( C, -1 );
>>
>> Buy = Cond0 AND Cond1 AND Cond2;
>> Sell = False;
>> inTrade = False;
>> bcnt = 0;
>>
>> for ( i = 0; i < BarCount; i++ )
>> {
>> if ( NOT Cond0[i] )
>> {
>> continue;
>> }
>>
>> if ( inTrade )
>> {
>> Buy[i] = False;
>> }
>>
>> if ( ++bcnt == Length )
>> {
>> inTrade = False;
>> Sell[i] = True;
>> bcnt = 0;
>> }
>> else
>> {
>> if ( Buy[i] )
>> {
>> inTrade = True;
>> bcnt = 1;
>> }
>> }
>> }
>>
>> Buy = ExRem( Buy, Sell );
>> Sell = ExRem( Sell, Buy );
>>
>>
>> --- In amibroker@xxxxxxxxxxxxxxx, "foxblade2000invest" <foxblade@xxx>
>> wrote:
>>> I'm trying to optimise with the folowing code. When I look at the
>>> results, the winning and losing average bars (which should be fixed)
>>> does not correspond at all with the "length" parameter, which should
>>> govern it?
>>>
>>> The code is as follows;
>>>
>>> PB=Optimize("PB",0.99,0.97,0.998,0.002);
>>> Length=Optimize("Length",12,3,15,1);
>>>
>>> Cond1=Ref(C,-1)<PB*Ref(C,-2);
>>> Cond2=C>Ref(C,-1);
>>>
>>>
>>> Buy = Cond1 AND Cond2;
>>> Sell = False;
>>> inTrade = False;
>>> bcnt = 0;
>>>
>>> for (i = 0; i < BarCount; i++)
>>> { if (inTrade)
>>> {
>>> Buy[i] = False;
>>> }
>>> if (++bcnt == Length)
>>> {inTrade = False;
>>> Sell[i] = True;
>>> }else
>>> {
>>> if (Buy[i])
>>> {inTrade = True;bcnt = 0;
>>> }
>>> }}
>>>
>>> Buy=ExRem(Buy,Sell);
>>> Sell=ExRem(Sell,Buy);
>>>
>>> Can anyone help?
>>>
>>> Thanks,
>>> Rich
>>>
>>
>>
>> ------------------------------------
>>
>> 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:
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> Yahoo! Groups Links
>
>
>
>
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