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Thanks, will try these suggestions.
--- In amibroker@xxxxxxxxxxxxxxx, "Steve Dugas" <sjdugas@xxx> wrote:
>
> Hi - You might try using SetBarsRequired at the end of your code to
limit how far the backtester looks back, have never tried it so I
don't know if it would work or not. Perhaps the easiest way would be
to trim the signals you don't want, e.g.
>
> Buy = whatever;
> Buy = IIF( DateNum < Status( "RangeFromDate" ), 0, Buy );
>
> Steve
> ----- Original Message -----
> From: ozzyapeman
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Thursday, September 04, 2008 5:43 PM
> Subject: [amibroker] Backtester does not respect date range!
>
>
> 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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