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You need to remember that in your formula you are using FUTURES mode.
In futures mode you pay Margin Deposit, it can be independent
from actual price. Therefore it may or may not relate to position value.
Position Value is component of Equity. Equity by definition is
value of all open positions plus cash. Value of Position is the money
that you will get if you exited that particular position. That includes
money you paid (or margin deposit for futures) plus/minus profit/loss
minus exit commission (if any).
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "ozzyapeman" <zoopfree@xxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Thursday, January 22, 2009 1:34 AM
Subject: [amibroker] Re: How to force Backtester to Calculate Position Size on Open Price?
> Tomasz, thank you for the clarification. I think I understand.
>
> What you are saying is that, in the backtester report, the value of
> "Position Value" is NOT Position Size (i.e. total money used to enter
> the position) but rather the value of the position at the "End of the
> Day" (or in the case of intraday - "End of the Bar").
>
> Is the above correct?
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@xxx> wrote:
>>
>> No, your findings are incorrect.
>> The fact that equity *chart* always displays closed equity does not mean
>> that close is used for position sizing calculations. It is NOT.
>> Equity chart and pos sizing is independent because
>> AmiBroker calculates equity several times inside bar (usually 3
> times, at open,
>> after handling exit signals and at close).
>>
>> If "Use Previous Bar Equity for position sizing" option is set to False
>> the backtester will:
>> a) update equity using OPEN price of current bar
>> b) close any positions that have exit signal on open (evaluating
> their value using OPEN price).
>> c) enter new positions on equity calculated from open prices.
>>
>> If "Use Previous Bar Equity for position sizing" option is set to True
>> it will use previous bar close price instead for pos sizing.
>>
>> But Equity chart will always show closed equity ("at the end of the
> day") by design (because it is usual
>> accounting practice).
>>
>> Best regards,
>> Tomasz Janeczko
>> amibroker.com
>> ----- Original Message -----
>> From: "ozzyapeman" <zoopfree@xxx>
>> To: <amibroker@xxxxxxxxxxxxxxx>
>> Sent: Thursday, January 22, 2009 12:36 AM
>> Subject: [amibroker] Re: How to force Backtester to Calculate
> Position Size on Open Price?
>>
>>
>> >I should note that for Entry prices, the backtester is correctly using
>> > OPEN prices and for ApplyStop, it is correctly exiting at the right
>> > price point between LOW and HIGH.
>> >
>> > It is only for the position values that the backtester is using CLOSE
>> > prices to calculate, even though CLOSE is nowhere in my AA settings or
>> > AFL reserved variables or SetOptions.
>> >
>> >
>> > --- In amibroker@xxxxxxxxxxxxxxx, "ozzyapeman" <zoopfree@> wrote:
>> >>
>> >> 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@> 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@>
>> >> > 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:
>> >> > > http://www.amibroker.com/devlog/
>> >> > >
>> >> > > For other support material please check also:
>> >> > > http://www.amibroker.com/support.html
>> >> > >
>> >> > > *********************************
>> >> > > Yahoo! Groups Links
>> >> > >
>> >> > >
>> >> > >
>> >> >
>> >>
>> >
>> >
>> >
>> > ------------------------------------
>> >
>> > **** 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:
>> > http://www.amibroker.com/devlog/
>> >
>> > For other support material please check also:
>> > http://www.amibroker.com/support.html
>> >
>> > *********************************
>> > Yahoo! Groups Links
>> >
>> >
>> >
>>
>
>
>
> ------------------------------------
>
> **** 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:
> http://www.amibroker.com/devlog/
>
> For other support material please check also:
> http://www.amibroker.com/support.html
>
> *********************************
> Yahoo! Groups Links
>
>
>
------------------------------------
**** 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:
http://www.amibroker.com/devlog/
For other support material please check also:
http://www.amibroker.com/support.html
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