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I suspect that the problem is that your code is not doing any kind of
array manipulations at all. Instead, you have written a manual loop
that stuffs result values into the Buy array simply as storage, then
hands that to the backtester.
The backtester cannot change the manual logic that you used to
populate that array. Therefore, the only thing that the backtester can
do is trim the entries that are not in the date rage.
Had you used array manipuations (e.g Sell = ExRemSpan(Buy, bars)) then
the backtester would have been able to align all the arrays involved
and do the work for you.
So, you have two choices:
1. Rewrite your code using array manipulations.
2. Change your manual loop logic to only operate on the range
specified in the AA window. See the Status function (e.g. barinrange)
for how to do that:
http://www.amibroker.com/guide/afl/status.html
Mike
--- In amibroker@xxxxxxxxxxxxxxx, "ozzyapeman" <zoopfree@xxx> wrote:
>
> This is a weird problem. It has become apparent to me that the
> backtester is not adhering to the specified date range.
>
> For example, I have a simple Forex test system that Buys on the
first
> bar, and sells when there is 100 pips profit, or 5 days have elapsed
> (loss). Then it re-enters the trade on the next available bar. So
there
> should be a Buy at the very first bar. But when I backtest on a
date
> range like 6/21/2007 - 7/21/2007, the first Buy occurs on 6/26/2007,
> instead of 6/21.
>
> It was very basic AFL and I could not find any flaw in logic. So
someone
> advised me to install Debug View and add trace statements.
>
> What I found is that the backtest engine is going all the way back
to
> the begining of my actual database (April 1998) and applying the
AFL,
> but only showing me results post 6/21/2007. The "phantom" Buys and
Sells
> that occur prior to 6/21/2007 makes the backtester think it is
already
> in a trade when it officially starts on 6/21. And it's only when the
> "phantom" Sell occurs on 6/26 that it shows the first official Buy
on
> that date in the backtester trade report.
>
> How could this be?
>
> Any help much appreciated.
>
> Below is the code with all the backtester settings. Please ignore
the
> trace statements. They are only for debugging. As you can see, the
code
> is very basic, (for testing purposes only):
>
>
>
>
//////////////////////////////////////////////////////////////////////
//\
> ///////////////
> //
> // SIMPLE TEST SYSTEM:
> //
> // BUY AT FIRST BAR, THEN SELL AT 100 PIPS PROFIT OR AFTER 7200
> ONE-MINUTE BARS (5 DAYS).
> // RE-ENTER ON THE NEXT BAR AFTER A SELL.
> //
>
//////////////////////////////////////////////////////////////////////
//\
> //////////////
>
> //
> --------------------------------------------------------------------
---
> // Variables
> //
> --------------------------------------------------------------------
---
>
> Profit = 0.0100;
> bars = 7200;
> maxContractsPerPair = 1;
> maxPairsTraded = 1;
> Slippage = 0.0002;
>
>
> //
> --------------------------------------------------------------------
---
> // BackTester Settings
> //
> --------------------------------------------------------------------
---
>
> tradeDelay = 1;
>
> SetBarsRequired(10000, 10000); // Ensures that
the
> charts include all bars AND NOT just those on screen
> SetOption("AccountMargin", 100); // Account margin,
100
> = no margin
> SetOption("ActivateStopsImmediately", False); // Intraday stops
?
> SetOption("AllowPositionShrinking", False); // Take partial
> trades if equity available ?
> SetOption("AllowSameBarExit", True); // Allow same bar
exit
> for profit stops ?
> SetOption("CommissionAmount", 4.00); // Commission
amount
> SetOption("CommissionMode", 3); // 3 = $ per
> share/contract
> SetOption("FuturesMode", 1); // = use
MarginDeposit
> and PointValue in calculations
> SetOption("InitialEquity", 100000); // Initial equity
$
> SetOption("InterestRate",0); // Set interest
rate
> earned for free cash, zero to evaluate system
> SetOption("MaxOpenPositions", maxPairsTraded * maxContractsPerPair);
> SetOption("MinPosValue", 0); // Min position
value
> to make trade worthwhile, 0 = no limit
> SetOption("MinShares", 1); // Min number
shares
> SetOption("PriceBoundChecking", False ); // Price to stay
in
> bar range ?
> SetOption("ReverseSignalForcesExit", False);
> SetOption("UsePrevBarEquityForPosSizing", True ); // Use last known
bar
> for position sizing ?
> SetTradeDelays(tradeDelay, tradeDelay, tradeDelay, tradeDelay);
> SetPositionSize(1, spsShares);
>
> if (maxContractsPerPair > 1)
> SetBacktestMode(backtestRegularRawMulti);
>
> // In AmiBroker, make sure that Symbol Information is properly set
up
> for each pair, esp. currency field.
> // Also, under AmiBroker main menu, make sure to set Tools -->
> Preferences --> Currencies for each pair
>
> RoundLotSize = 1;
> MarginDeposit = 2000;
> PointValue = 100000;
>
> //
> --------------------------------------------------------------------
---
> // Trading System Formula
> //
> --------------------------------------------------------------------
---
>
> BuyPrice = Open + Slippage;
> ShortPrice = Open - Slippage;
> SellPrice = Open - Slippage;
> CoverPrice = Open + Slippage;
>
>
> // Set up some variables to give us info on current position
> wasLong = reachedProfitLevel = buySignal = sellSignal =
barToExitLong =
> 0;
>
> // Set up variables for our entry values, as our stops will test
against
> the initial entry prices
> valueAtBuy = Null;
> profitLevel = Null;
>
> // Number of open contracts
> longContractCount = 0;
>
> // Debugging arrays
> dateArray = DateNum();
> timeArray = TimeNum();
>
> for (i = 0; i < (BarCount-TradeDelay); i++)
> {
> // Remember if a position is currently open, so we do not re-
enter in
> the same direction on the same bar
> wasLong = longContractCount > 0;
>
> // Check for conditions to exit a long trade
> if (longContractCount > 0)
> {
> reachedProfitLevel = C[i] > profitLevel;
>
> if (reachedProfitLevel)
> {
> _TRACE("bar=" + i + " " + StrFormat("%06.0f",dateArray[i])
+ " "
> + StrFormat("%06.0f",timeArray[i]) + " reached long ProfitLevel");
> sellSignal[i] = 3; // 3 = profit : this behavior emulates
the
> Equity(1) functionality
> longContractCount = 0;
> }
>
> // Sell at loss
> else if ( i == barToExitLong)
> {
> _TRACE("bar=" + i + " " + StrFormat("%06.0f",dateArray[i]) +
" " +
> StrFormat("%06.0f",timeArray[i]) + " reached barToExitLong");
> sellSignal[i] = 2; // 2 = max loss : this behavior emulates
the
> Equity(1) functionality
> longContractCount = 0;
> }
> }
>
> // Long entry
> if ( NOT wasLong )
> {
> _TRACE("bar=" + i + " " + StrFormat("%06.0f",dateArray[i]) + "
" +
> StrFormat("%06.0f",timeArray[i]) + " not was long");
> buySignal[i] = 1;
> longContractCount = 1;
> valueAtBuy = BuyPrice[i+tradeDelay];
> profitLevel = valueAtBuy + Profit;
> barToExitLong = i + bars; // 5 days later
> }
> }
>
> // This logic is needed to workaround strange undocumented
backtester
> behavior when the sell/cover arrays are non-boolean.
> Sell = sellSignal != 0;
> Buy = buySignal;
>
------------------------------------
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