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Tomasz,
Thanks for the reply, but I *did* read the manual and *did* set the
buyprice reserved variables, etc. (all to OPEN), and yet the
backtester is still using CLOSE for position value calculations.
Hence I posted the question.
So either this is a bug or there is some other setting which is
overriding both my AA settings and reserved variable settings. I can't
seem to find any such setting error, so at this point I am thinking
it's a bug.
Is it?
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@xxx> wrote:
>
> Hello,
>
> When everything fails consult..... the manual:
>
> http://www.amibroker.com/guide/h_backtest.html
>
> Quote
>
> "Controlling trade price
>
> AmiBroker now provides 4 new reserved variables for specifying the
price at which buy, sell, short and cover orders are executed.
> These arrays have the following names: buyprice, sellprice,
shortprice and coverprice.
>
> The main application of these variables is controlling trade price:
>
> BuyPrice = IIF( dayofweek() == 1, HIGH, CLOSE );
> // on monday buy at high, otherwise buy on close
>
> So you can write the following to simulate real stop-orders:
>
> BuyStop = ... the formula for buy stop level;
> SellStop = ... the formula for sell stop level;
>
> // if anytime during the day prices rise above buystop level
(high>buystop)
> // the buy order takes place (at buystop or low whichever is higher)
> Buy = Cross( High, BuyStop );
>
> // if anytime during the day prices fall below sellprice level ( low
< sellstop )
> // the sell order takes place (at sellstop or high whichever is lower)
> Sell = Cross( SellPrice, SellStop);
>
> BuyPrice = max( BuyStop, Low ); // make sure buy price not less than Low
> SellPrice = min( SellStop, High ); // make sure sell price not
greater than High
>
> Please note that AmiBroker presets buyprice, sellprice, shortprice
and coverprice array variables with the values defined in system
> test settings window (shown below), so you can but don't need to
define them in your formula. If you don't define them AmiBroker
> works as in the old versions.
>
> During back-testing AmiBroker will check if the values you assigned
to buyprice, sellprice, shortprice, coverprice fit into high-low
> range of given bar. If not, AmiBroker will adjust it to high price
(if price array value is higher than high) or to the low price
> (if price array value is lower than low)"
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: "ozzyapeman" <zoopfree@xxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Wednesday, January 21, 2009 10:46 PM
> Subject: [amibroker] Re: How to force Backtester to Calculate
Position Size on Open Price?
>
>
> > and here are all my other options set in the AFL.
> >
> > I can't see how any of them would force the backtester to use Close
> > prices, but maybe one option does?
> >
> >
> > SetBarsRequired( 10000, 0 );
> > SetOption( "AccountMargin", 100 );
> > SetOption( "ActivateStopsImmediately", True );
> > SetOption( "AllowPositionShrinking", False );
> > SetOption( "AllowSameBarExit", True );
> > SetOption( "CommissionAmount", 3.00 );
> > SetOption( "CommissionMode", 2 );
> > SetOption( "FuturesMode", 1 );
> > SetOption( "InitialEquity", 100000 );
> > SetOption( "InterestRate", 0 );
> > SetOption( "MaxOpenPositions", 1 );
> > SetOption( "MinPosValue", 0 );
> > SetOption( "MinShares", 1 );
> > SetOption( "PriceBoundChecking", True );
> > SetOption( "ReverseSignalForcesExit", False );
> > SetOption( "UsePrevBarEquityForPosSizing", False );
> > SetTradeDelays( 0, 0, 0, 0 );
> > SetPositionSize( 1, spsShares );
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "ozzyapeman" <zoopfree@> wrote:
> >>
> >> Buyprices set in AFL formula are all Open:
> >>
> >> BuyPrice = Open;
> >> ShortPrice = Open;
> >> SellPrice = Open;
> >> CoverPrice = Open;
> >>
> >> very wierd...
> >>
> >>
> >> --- In amibroker@xxxxxxxxxxxxxxx, "Anthony Faragasso" <ajf1111@>
wrote:
> >> >
> >> > Is there anywhere in your code formula that you may be specifying a
> >> different buyprice....because I believe the formula overrides the
> >> settings in the preference window..
> >> >
> >> > Anthony
> >> >
> >> >
> >> > ----- Original Message -----
> >> > From: ozzyapeman
> >> > To: amibroker@xxxxxxxxxxxxxxx
> >> > Sent: Wednesday, January 21, 2009 3:41 PM
> >> > Subject: [amibroker] Re: How to force Backtester to Calculate
> >> Position Size on Open Price?
> >> >
> >> >
> >> > I've always had the trade settings set to buyprice Open.
> >> >
> >> > Unfortunately, the backtester insists on using the Close, and I
> > can't
> >> > figure out why that is.
> >> >
> >> > --- In amibroker@xxxxxxxxxxxxxxx, "gonzagags" <gonzagags@> wrote:
> >> > >
> >> > > Try in settings- trades, set in long trades buyprice in open..
> >> > >
> >> > >
> >> > > --- In amibroker@xxxxxxxxxxxxxxx, "ozzyapeman" <zoopfree@>
wrote:
> >> > > >
> >> > > > Hello, even though I have set Buyprice = Open; I noticed
> > that the
> >> > > > backtester report is displaying position sizes based on the
> >> Close of
> >> > > > the bar. On some trades this makes a huge difference.
> >> > > >
> >> > > > I am backtesting Forex. And I imagine that when trading
on the
> >> Open,
> >> > > a
> >> > > > broker like IB will use the dynamic price of the Open to
> >> calculate
> >> > > the
> >> > > > exchange rate and position size, since the Close price is
> > not yet
> >> > > > known at the time of the trade.
> >> > > >
> >> > > > So how do I force the backtester to mimic the above, and
> > calculate
> >> > > > position sizes based on Opens? Or is this not even an option?
> >> > > >
> >> > > > I looked up Setoption in the reference guide, and don't seem
> >> to see
> >> > > an
> >> > > > appropriate setting to switch.
> >> > > >
> >> > > > Any input appreciated.
> >> > > >
> >> > >
> >> >
> >> >
> >> >
> >> >
> >> >
> >> >
> >> >
> >>
> >
------------------------------------------------------------------------------
> >> >
> >> >
> >> >
> >> > No virus found in this incoming message.
> >> > Checked by AVG - http://www.avg.com
> >> > Version: 8.0.176 / Virus Database: 270.10.10/1906 - Release Date:
> >> 1/21/2009 7:07 AM
> >> >
> >>
> >
> >
> >
> > ------------------------------------
> >
> > **** IMPORTANT ****
> > This group is for the discussion between users only.
> > This is *NOT* technical support channel.
> >
> > *********************
> > TO GET TECHNICAL SUPPORT from AmiBroker please send an e-mail
directly to
> > SUPPORT {at} amibroker.com
> > *********************
> >
> > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
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> >
> > For other support material please check also:
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> >
> > *********************************
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> >
> >
> >
>
------------------------------------
**** IMPORTANT ****
This group is for the discussion between users only.
This is *NOT* technical support channel.
*********************
TO GET TECHNICAL SUPPORT from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
*********************
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
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For other support material please check also:
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