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To get you going immediately, try changing your loop condition to the
following and see if it produces what you expect:
FirstBar = LastValue(ValueWhen(Status("firstbarinrange"),
BarIndex()));
LastBar = LastValue(ValueWhen(Status("lastbarinrange"), BarIndex()));
for (i = FirstBar; i < (LastBar-TradeDelay); i++)
Mike
--- In amibroker@xxxxxxxxxxxxxxx, "ozzyapeman" <zoopfree@xxx> wrote:
>
> 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@> 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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