|
PureBytes Links
Trading Reference Links
|
Sorry if I offended you (sleep deprivation you know..). Let me know how it goes for you. Happy to
help out more. Regards, GRANT
İlhan Ketrez wrote:
> Dear Grant,
>
> Thank you for making me feel like a child :)
>
> And thank you for your detailed e-mail. It seems useful but I don't have
> enough time now to examine in depth.
>
> As you mentioned, I need to make some modifications I guess. I will post
> here as soon as I make it work for me.
>
> Bes regards,
> Ilhan Ketrez
>
>
> 01.07.2008 tarihinde *Grant Noble* <gruntus@xxxxxxxxxxx
> <mailto:gruntus@xxxxxxxxxxx>> yazmış:
>
> Quit your whining. It took me the best part of 2 years to get
> accurate profit & margin calculations.
> It didn't help that there was a bug in fx profit calculations
> involving leverage but Thomasz fixed
> that a few releases ago (ta :)). Along the way I realised that not
> all brokers calculate margin the
> same way - my broker actually has three different calculations
> depending on the type of stop used.
> Some base margin on CCY1, some on CCY2. Also margin, as a symbol
> information property, is defined
> statically whereas I needed to define it dynamically at order time
> based on entry price. Therefore I
> needed CBT code which I was able to create with the help of another
> participant on this forum (g'day
> Aron). You too will probably need something like this. Amibroker
> support is tip-top but working out
> how to set backtest preferences for your broker is your job.
>
> I'll attach some code I use. I #include it in all my systems. Note
> that is uses ATC so you'll have
> to retrieve this data within your system code. Note also that this
> code is partially obsolete (since
> that bug was sorted out). Will it do exactly what you want? Probably
> not, you'll need to tweak
> depending upon your use. I need to do more work on it but I've been
> busy with twin babies. Hope it
> helps. G
>
> /*
> Grant's FX preferences
> */
> SetOption("FuturesMode",
> True); // = use
> MarginDeposit and PointValue in calculations
> SetOption("InitialEquity", 10000
> ); // Initial equity $
> SetOption("MaxOpenPositions", 4
> ); // Max number of positions
> SetOption("CommissionMode",
> 3); // 3 = $ per share/contract
> SetOption("CommissionAmount",
> 0); // Commission amount
> SetOption("AccountMargin",
> 100); // Account
> margin, 100 = no margin
> SetOption("PriceBoundChecking", True
> ); // Price to stay in bar range ?
> SetOption("UsePrevBarEquityForPosSizing", True ); // Use last
> known bar for position sizing ?
> SetOption("ActivateStopsImmediately", False); //
> Intraday stops ?
> SetOption("Allowsamebarexit",
> True); // Allow same bar exit for
> profit stops ?
> SetOption("Allowpositionshrinking", True); //
> Take partial trades if equity available ?
> SetOption("InterestRate",0); //
> Set interest rate earned for free cash, zero to evaluate system
> SetOption("UseCustomBacktestProc", True); //
> Use Custom backtest for reporting ?
> SetOption("MinShares",
> 1); //
> Min number shares one
> SetOption("MinPosValue",
> 0); // Min
> position value to make trade worthwhile, 0 = no limit
> SetTradeDelays(0,0,0,0); //
> Trade delays applied by the backtester
>
> lotsize = StrToNum( ParamList("Lot size", "100000|10000|1000", 0)
> ); // default lot 100000
> leverage = Param("Leverage rate", 50, 1, 100,
> 1); // default
> leverage 50:1
> base = ParamList("Base currency","AUD|CAD|CHF|EUR|GBP|USD",
> 0); // default base currency AUD
>
> ccy2 = StrRight( Name(), 3
> ); // eg. EURJPY
> gives JPY
> TickSize = IIf( ccy2 == "JPY", 0.01, 0.0001 ); //
> the minimum price move of symbol
> RoundLotSize =
> 1;
> // whole contracts only
> contracts =
> 1; //
> contracts to acquire
> SetPositionSize( contracts, spsShares
> ); // spsShares = size expressed in
> shares/contracts
>
> fxRate = IIf( ccy2 == base, 1, Ref( Foreign( StrFormat( ccy2 + base
> ), "Close" ), -1 ) ); // eg.
> close of JPYAUD yesterday
> pv = lotsize * fxRate; // the amount of profit
> generated by one contract for a one point increase
> in price
> md = pv * Close * 1 / leverage; // the amount of money required to
> open single contract position [IG
> margin - no stop]
>
> // note: ATC code produces future leak warning when code is Checked
> by editor..
> AddToComposite( pv, "~spec_" + Name(), "O", atcFlagDeleteValues +
> atcFlagCompositeGroup +
> atcFlagEnableInExplore + atcFlagEnableInBacktest ); // store daily
> point value in composite
> AddToComposite( md, "~spec_" + Name(), "C", atcFlagCompositeGroup +
> atcFlagEnableInExplore +
> atcFlagEnableInBacktest ); // store daily margin deposit in composite
>
> SetCustomBacktestProc(""); // no external backtest procedure
> if ( Status("action") == actionPortfolio) {
> bo = GetBacktesterObject(); // get backtester object
> //
> // set correct MarginDeposit & PointValue on entry signal days
> //
> bo.PreProcess(); // do
> pre-processing (always required)
> for (i = 1; i < BarCount; i++) // loop through all bars
> {
> for (sig = bo.GetFirstSignal(i); sig; sig =
> bo.GetNextSignal(i)) // loop through all signals at
> this bar
> {
> if( sig.IsEntry() ) // is it an entry signal
> (buy/short) ?
> {
> pv = Foreign( "~spec_" + sig.Symbol,
> "O" ); // entry day point value
> md = Foreign( "~spec_" + sig.Symbol,
> "C" ); // entry day margin deposit
> _TRACE( StrFormat( "Ticker=" +
> sig.Symbol + " PointValue=%1.0f pv=%1.0f MarginDeposit=%1.0f
> md=%1.0f", sig.PointValue, pv[i], sig.MarginDeposit, md[i] ) );
> sig.PointValue =
> pv[i]; // set symbol PointValue
> sig.MarginDeposit =
> md[i]; // set symbol MarginDeposit
> }
> }
> bo.ProcessTradeSignals(i); // process trades at bar
> (always required)
> }
> bo.PostProcess(); // do post-processing (always required)
> }
> //
>
> İlhan Ketrez wrote:
> > Dear friends,
> >
> > Before registering the mailgroup, I was quite frustated regarding the
> > customer support for Amibroker. Now I observe that Tomasz is very
> busy
> > with the new technological developements of the software and
> replies the
> > related questions mostly. I appreciate his great effort and magical
> > software.
> >
> > In my recent e-mails, I believe that I emphasize an important point
> > about forex backtesting in Amibroker. Currently, I see that it is
> > impossible to truly backtest multiple forex pairs with the standard
> > backtester interface. Below, I am trying to explain in detail.
> >
> > - For EURUSD and XXXUSD pairs everything is OK.
> > - When the second unit is not USD, problem arises. I'm taking the
> EURJPY
> > as my example. Brokers calculate the profit-loss of these trades
> in JPY
> > (using the pointvalue * pricechange formula) and then converts to
> USD,
> > using the USDJPY pair as you know.
> > - In Amibroker, when we set the currency as JPY and indicate
> USDJPY in
> > the settings, it calculates the profit-losses correctly.
> > - In this case, it takes also the margin deposit scalar in JPY.
> > - Hence, all the traded contract quantities increase to extreme
> values
> > and all the backtest becomes incorrect.
> >
> > How can we (do you) overcome this hindrance?
> >
> > Thanks in advance and best regards,
> > Ilhan
> >
> >
> >
> >
> >
> >
> > ---------- Yönlendirilmiş ileti ----------
> > Kimden: *İlhan Ketrez* <ilhanketrez@xxxxxxxxx
> <mailto:ilhanketrez@xxxxxxxxx>
> > <mailto:ilhanketrez@xxxxxxxxx <mailto:ilhanketrez@xxxxxxxxx>>>
> > Tarih: 27 Haziran 2008 Cuma 15:28
> > Konu: Re: [amibroker] Portfolio backtest in forex
> > Kime: amibroker@xxxxxxxxxxxxxxx
> <mailto:amibroker@xxxxxxxxxxxxxxx> <mailto:amibroker@xxxxxxxxxxxxxxx
> <mailto:amibroker@xxxxxxxxxxxxxxx>>
> >
> >
> >
> > Thanks Tomasz,
> >
> > Curreny setting in the symbol information window is OK.
> >
> > The settings in the Tools->Preferences->Currencies windos are
> also OK.
> >
> > When we change the currency, the currency of the margin deposit also
> > changes. That is the problem.
> > In forex accounts all of the margins are (Say) 1000 USD.
> > Hence, in the current situation it becomes 1000 CHF. (Small Problem,
> > average in last years is around 1.4)
> > If the pair is USDJPY, it becomes 1000 JPY. (Greater problem
> average in
> > last years is around 110)
> >
> > As a result, almost all of the results become insignificant, starting
> > with exposure, total profit/loss calculations.
> >
> >
> > Please note that, unit profit-loss calculation is correct. Infact
> > everything else seem to be correct.
> >
> > I understand the need for setting the margindeposit currency to the
> > active currency to make trade in different markets.
> >
> > One temporary solution can be making an approach by adjusting the
> > position size accordingly But the real, exact solution can only be
> > achieved by defining a seperate currency setting for the margin
> deposit.
> >
> > I am waiting for your comments.
> >
> > Best regards,
> > Ilhan
> >
> >
> > 2008/6/27, Tomasz Janeczko <groups@xxxxxxxxxxxxx
> <mailto:groups@xxxxxxxxxxxxx>
> > <mailto:groups@xxxxxxxxxxxxx <mailto:groups@xxxxxxxxxxxxx>>>:
> >
> > Hello,
> >
> > You need to define CURRENCY (symbol->information) for that
> pair to
> > match the deposit currency.
> > You also need to setup currency tables in
> Tools->Preferences->Currencies
> >
> > Best regards,
> > Tomasz Janeczko
> > amibroker.com <http://amibroker.com> <http://amibroker.com/>
> >
> > ----- Original Message -----
> > *From:* İlhan Ketrez <mailto:ilhanketrez@xxxxxxxxx
> <mailto:ilhanketrez@xxxxxxxxx>>
> > *To:* amibroker@xxxxxxxxxxxxxxx
> <mailto:amibroker@xxxxxxxxxxxxxxx> <mailto:amibroker@xxxxxxxxxxxxxxx
> <mailto:amibroker@xxxxxxxxxxxxxxx>>
> > *Sent:* Thursday, June 26, 2008 4:24 PM
> > *Subject:* [amibroker] Portfolio backtest in forex
> >
> >
> > Hello,
> >
> > While the currency for the margin deposit is not USD, how
> can we
> > perform a correct portfolio backtest in XXXYYY where YYY
> is not
> > USD such as EURCHF?
> >
> > Thanks in advance.
> > Ilhan
> >
> >
> >
> >
> >
> >
> >
> >
> ------------------------------------------------------------------------
> >
> >
> > No virus found in this incoming message.
> > Checked by AVG.
> > Version: 8.0.101 / Virus Database: 270.4.3/1527 - Release Date:
> 6/30/2008 6:07 PM
>
> ------------------------------------
>
> 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 <http://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
>
>
> mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx
> <mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx>
>
>
>
>
>
>
> ------------------------------------------------------------------------
>
>
> No virus found in this incoming message.
> Checked by AVG.
> Version: 8.0.101 / Virus Database: 270.4.3/1527 - Release Date: 6/30/2008 6:07 PM
------------------------------------
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
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> Your email settings:
Individual Email | Traditional
<*> To change settings online go to:
http://groups.yahoo.com/group/amibroker/join
(Yahoo! ID required)
<*> To change settings via email:
mailto:amibroker-digest@xxxxxxxxxxxxxxx
mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|