Re: [amibroker] Re: Buyprice and sellprice..., AmiBroker Email List Archive

Greetings all --

I received a private email asking for more clarification about the code segment I posted. Since the technique may be of general interest, I've posted it to the forum.

Here is a complete trading system that adjusts the BuyPrice and SellPrice,
under the control of a Param.

Replace the simple moving average crossover for the Buy with a more intelligent one of your own. And the Sell as well.

Run this with AdjustBuyPrice set to 0, and again with it set to 1.

For each run, open the Report, then look at Trades and compare the price of entry and exit.

/////////////////////////////////////////////////////

//    adjustBuyPrice.afl

//    In response to a question on the Yahoo AmiBroker Forum,
//    this code shows one way to adjust the Buyprice and Sell Price,
//    perhaps to model slippage.

//    Howard Bandy
//    July 2, 2008

SetTradeDelays(0,0,0,0);
BuyPrice = C;
SellPrice = C;

//    When AdjustBuyPrice is 0, no changes are made
//    When AdjustBuyPrice is 1, BuyPrice and Sell Price are adjusted

AdjustBuyPrice = Param("adjBuyPrice",0,0,1,1);

MA1 = 10;
MA2 = 5;
Buy = Cross(MA(C,MA1),MA(C,MA2));

if (AdjustBuyPrice)
{
    for (i=0; i<BarCount; i++)
    {
        // test to see if there was a Buy on this bar
        // and if there was, adjust BuyPrice
        if (Buy[i] == 1)
        {
            BuyPrice[i] = 1.01*BuyPrice[i];
        }
    }
}

Sell = BarsSince(Buy)>=3;

if (AdjustBuyPrice)
{
    for (i=0; i<BarCount; i++)
    {
        // test to see if there was a Sell on this bar
        // and if there was, adjust SellPrice
        if (Sell[i] == 1)
        {
            SellPrice[i] = 0.99*BuyPrice[i];
        }
    }
}

//////////////////////////////////////////////////////

Thanks,
Howard
www.quantitativetradingsystems.com

On Wed, Jul 2, 2008 at 9:08 AM, Dennis Brown <see3d@xxxxxxxxcom> wrote:

Barry,

About the only comment I can make is that I have produced systems the
generate in real life what they backtest to. If you understand all
the issues, you can make it match. Another point is that when I trade
against my system --deciding the best second to send the order after
it says to send it, I generally get a better result. This is trading
one minute bars. It all just depends on the details of the system and
the trader --and the delays from the data feed.

Other than that, I generally agree with your assessment.

BR,
Dennis

On Jul 2, 2008, at 11:40 AM, Barry Scarborough wrote:

> I guess I will start a debate that I don't intend to participate in
> but state it for consideration. It seems many are trying to tweak
> their back tester to find the absolute best performance but include
> intangibles like slippage. Back testing, in my opinion, should only
> be used to compare systems to find which out performs another. That
> is all you need to do because the market will change and the system
> will not work as you expect. So it is a waste of time to try to eek
> our more gain or try to factor in slippage or all such nonsense.
>
> Why do I say this? I have a system that consistently will back test
> 200% to 1000% A DAY using 1 Russell emini contract ER2 and a 1 minute
> chart. In longer periods the gain is less and I use various time
> periods and data samples. In the real world it does not make a profit
> on a 1 minute chart. But that system works much better than one that
> back tests with less gain and the system does not even start to make
> a consistent gain with a period under 15 minutes. Using hour charts
> it is much better but no where near 200% a day the back tester shows.
>
> The problem is when you enter the real world, especially with auto
> trading, whipsaw during sideways periods and during trend changes
> will eat your lunch. Auto trading will come close to getting the
> value of the close at the time the signal was generated by your
> system. But there is slippage and that can be significant depending
> on the buy/ask spread and the volatility of the market. You can't
> predict what it will be. Don't even try! Even if you use a simple
> button pushing auto trading system, where you hit the buy or sell
> button when you see your signal, you can't hit the button fast enough
> to simulate the price you get on the static chart. So your results
> will not come close to your back test results. I REPEAT NOT EVEN
> CLOSE!!! So it is a waste of time to do more than use back testing to
> compare systems. Trying to predict what it will do in the real world
> is deceitful, sheer folly, don't do it.
>
> Well that's my two cents worth. I am going back to sleep now.
>
> Cheers,
> Barry
>
> --- In amibroker@xxxxxxxxxps.com, "Howard B" <howardbandy@...> wrote:
>>
>> Hi Louis --
>>
>> Perhaps write a simple loop?
>>
>> for (i=0; i<BarCount; i++)
>> {
>> // test to see if there was a Buy on this bar
>> // and if there was, adjust BuyPrice
>> if (Buy[i] == 1)
>> {
>> BuyPrice[i] = 1.01*BuyPrice[i];
>> }
>> }
>>
>> Or am I missing something?
>>
>> Thanks,
>> Howard
>>
>>
>>
>>
>> On Tue, Jul 1, 2008 at 9:27 PM, tayamaan <tayamaan@xxx> wrote:
>>
>>> Louis, you now assume your slippage to be 1%, which is a guess
>>> anyways. It differs per situation what your system considers to be
>>> the Buy/Sell Price and what you actually pay or get at the market.
>>> These are still two different things. I wouln't know how to
> calculate
>>> the real slippage, all you can do is comparing the difference
> over a
>>> period of time and take some kind of average.
>>>
>>> Adrian
>>>
>>> --- In amibroker@xxxxxxxxxps.com <amibroker%40yahoogroups.com>,
> Graham
>>> <kavemanperth@> wrote:
>>>>
>>>> turn off the option of PriceBoundChecking in the Analyser
> settings
>>> of in the AFL
>>>>
>>>> SetOption( "PriceBoundChecking", 0 );
>>>>
>>>> --
>>>> Cheers
>>>> Graham Kav
>>>> AFL Writing Service
>>>> http://www.aflwriting.com
>>>>
>>>>
>>>> 2008/7/2 Louis Préfontaine <rockprog80@>:
>>>>> Hi,
>>>>>
>>>>> But is it possible to set the backtester to consider that the
>>> buyprice was
>>>>> let's say 1% higher than the Close on the bar the trade was
> made?
>>>>>
>>>>> That's what I tried to do. If it's complicated, I can live
> with
>>> this (well,
>>>>> I can at least try, since I believe I am still a beginner in
>>> understanding
>>>>> AFL), but I'd need to know if it is possible, and if yes, what
>>> can be a good
>>>>> start...
>>>>>
>>>>> Was I on the right track with
>>>>>
>>>>> SetTradeDelays( 1, 1, 1, 1 );
>>>>> BuyPrice = c*1.01;
>>>>> SellPrice = c*0.99;
>>>>>
>>>>> Cause it does not work at all...
>>>>>
>>>>> Thanks again,
>>>>>
>>>>> Louis
>>>>>
>>>>> 2008/7/1 Graham <kavemanperth@>:
>>>>>>
>>>>>> Then you need to set out exactly what you need to do and
> write
>>> the afl to
>>>>>> match
>>>>>> It is all logical steps
>>>>>> I do it by writing down all the restrictions and
> possibilities
>>> and
>>>>>> what I need at the end and how I think is best way to achieve
>>> this
>>>>>> ......... in detail. There are no short cuts and can be very
>>> tedious.
>>>>>> I also more often than not write out a flow chart to map all
>>>>>> decisions, inputs, outputs, calculations etc.
>>>>>>
>>>>>> --
>>>>>>
>>>>>> Cheers
>>>>>> Graham Kav
>>>>>> AFL Writing Service
>>>>>> http://www.aflwriting.com
>>>>>>
>>>>>> 2008/7/2 Louis Préfontaine <rockprog80@>:
>>>>>>> Hi Adrian,
>>>>>>>
>>>>>>> Thanks for your suggestion. But still... How can I do
> this? I
>>> mean: I
>>>>>>> want to be precise. With the kind of markets I am in and
> what
>>> I am
>>>>>>> trying
>>>>>>> to do, precision is very important... I need to be able to
> set
>>> a
>>>>>>> particular % adjustment for particular situations...
>>>>>>>
>>>>>>> Louis
>>>>>>>
>>>>>>> 2008/7/1 tayamaan <tayamaan@>:
>>>
>>>>>>>>
>>>>>>>> Hi, if you would really like to try to compensate for
>>> slippage,
>>>>>>>> adding this to your commissions as part of your
> transaction
>>> costs is
>>>>>>>> perhaps an idea.
>>>>>>>>
>>>>>>>> Adrian
>>>>>>>>
>>>>>>>>> Hi Graham,
>>>>>>>>>
>>>>>>>>> How can I put more information so that my buy price is
> 1%
>>> higher
>>>>>>>> than C and
>>>>>>>>> sell price 1% lower than C?
>>>>>>>>>
>>>>>>>>> Thanks,
>>>>>>>>>
>>>>>>>>> Louis
>>>>>>>>>
>>>>>>>>> 2008/7/1 Graham <kavemanperth@>:
>>>>>>>>>
>>>>>>>>>> Without more information on what you are trying to
> achieve
>>>>>>>>>> The price will be for the bar of actual entry C*1.01
> or
>>> C*0.99
>>>>>>>>>>
>>>>>>>>>> Also the prices may be outside than the bar range in
>>> which case
>>>>>>>> the
>>>>>>>>>> closer of high or low is used if you have the
>>> PriceBoundChecking
>>>>>>>> on
>>>>>>>>>>
>>>>>>>>>> --
>>>>>>>>>> Cheers
>>>>>>>>>> Graham Kav
>>>>>>>>>> AFL Writing Service
>>>>>>>>>> http://www.aflwriting.com
>>>>>>>>>>
>>>>>>>>>> 2008/7/1 Louis Préfontaine <rockprog80@ <rockprog80%
>>>>>>>> 40gmail.com>
>>>>>>>>>>> :
>>>>>>>>>>
>>>>>>>>>>> Hi,
>>>>>>>>>>>
>>>>>>>>>>> I have been trying to set a formula for slippage:
>>>>>>>>>>>
>>>>>>>>>>> SetTradeDelays( 1, 1, 1, 1 );
>>>>>>>>>>>
>>>>>>>>>>> BuyPrice = C*1.01;
>>>>>>>>>>> SellPrice = C*0.99;
>>>>>>>>>>>
>>>>>>>>>>> It doesn't work at all. I tried to write C*50 just
> for
>>> fun, but
>>>>>>>> it didn't
>>>>>>>>>>> change the buyprice at all. What can possibly be
> wrong?
>>>>>>>>>>>
>>>>>>>>>>> Thanks,
>>>>>>>>>>>
>>>>>>>>>>> Louis
>>>>
>>>
>>>
>>>
>>
>
>
>
> ------------------------------------

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