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Thanks Mike. That was helpful.
--- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@xxx> wrote:
>
> 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@> 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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