|
A couple of ways to see if it is really referencing the future:
1. Performance that looks like the holy grail and quite robust to parameter changes. 2. While watching real time buy/sell/short/cover signals (Bar Replay) -- it sometimes takes back the last signal.
Some formulas look into the future to get patterns, but do not trade on the future data.
Some formulas can reference the future in indirect ways that are hard to spot, but if 2. is happening, just trace the code when it takes back a trade to find the culprit.
Best regards, Dennis
On Sep 24, 2008, at 11:08 PM, ozzyapeman wrote: I clicked on "Code Check & Profile" in the AFL editor and it gives me the warning that my code references future quotes, "40 past and ALL future quotes are needed to calculate the formula correctly." Hoping anyone can chime in here with reasons why that might be happening.
Is there any other way to test if I have a "Future Leak" other than relying on the Code Check tool?
I have gone through my FOREX trading system with a fine tooth comb and can't find any place where it references the future. It makes use of several moving averages that only reference the current Close, and back through the lasts 40 Closes. I test my current Close against the MAs, as well as against static profit and stop targets.
I am wondering if my backtester settings are somehow setting off the Code Check warning. Would any of the following backtester settings set off a false warning of this sort? What else might trigger the 'Future Leak' alarm? I don't use any fancy functio ns like ZIG, just plan old MAs...
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", 3.00); // 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); &nbs p; // 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);
quoteCurrency = StrRight(Name(), 3); // eg. EURJPY gives JPY.
if (maxContractsPerPair > 1)
SetBacktestMode(backtestRegularRawMulti);
tradedelay = 0;
// Make sure backtester only starts computing at the start of our testing date range, not the start of the symbol database
if(Status("action")>2) start = Max( tradeDelay, LastValue( ValueWhen( Status("firstbarinrange"), BarIndex() ) ) );
else start = tradedelay;
// Barcount Loop
for (start = 1; i < BarCount; i++)
{
// Trade system using MAs goes here.
Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
For other support material please check also:
http://www.amibroker.com/support.html
![]()
__,_._,___
|