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I see.
I might suggest that when doing the next update that will allow us to
turn on/off select columns in the backtest report, that a column be
provided for "Entry Position Size" or something like that.
I for one would find it useful to know how much cash was used to enter
a position originally, at a glance, without having to hand calculate
it. Don't know if anyone else shares that desire.
Thanks again for answering questions like this. It's rare that the
designer of a major software product takes the time to interact with
customers in real time.
Much appreciated!
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@xxx> wrote:
>
> 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@xxx>
> 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@> 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@>
> >> 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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