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Thanks, Tomasz. Another question for you (or anyone)- what about
"setbarsrequired"? I find that even with a simple MA crossover test
system that makes use of a barcount loop, I need to do this in order
to ensure that my plots do not vanish/re-appear as I scroll across the
screen:
SetBarsRequired(10000, 10000);
// Ensures that the charts include all bars AND NOT just those on screen.
Of course, I get the future warning when I add the above to my
backtester settings, but I am sure my trading system itself does NOT
depend on future quotes. Can one add the above statement without it
necessarily creating a future leak as far backtesting results are
concerned?
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@xxx> wrote:
>
> Yes, because LastValue DOES look into the future and it actually
looks ALL bars into the future.
> The user's guide of course says about that
http://www.amibroker.com/f?lastvalue
> "Caveat: since this function fills an entire data array with the
last value of another array, it allows a formula to look into the
future. "
>
> LastValue must never be used in trading system.
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: Grover Yowell
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Thursday, September 25, 2008 5:30 AM
> Subject: RE: [amibroker] Does my code really look into the future?!?
>
>
> Ozzy,
>
>
>
> I have found that Code Check will report looking into the future
if you have a "lastvalue()" in your code, and I see that you do. You
can take the simplest code such as buying on the MACD as in TJ's
system example and put in a last value on something or other and
bang!, the system reports a future leak. Don't know why, but it does.
>
>
>
> You can also get a reported future leak with a trace statement,
something as innocent as _trace("Hello world");
>
>
>
> Hope this helps.
>
>
>
> Grover Yowell
>
>
>
> From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]
On Behalf Of ozzyapeman
> Sent: Wednesday, September 24, 2008 8:08 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Does my code really look into the future?!?
>
>
>
> 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 functions 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);
// 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.
>
------------------------------------
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