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Thanks, Mike.
What you just explained is currently a bit over my head, but at least
now I have a direction - and more stuff to learn! Dang, it never ends...
--- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@xxx> wrote:
>
> 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@> 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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