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Ozzy,
>From AA Settings window, change to Report tab and then select
"Detailed log" for result list. It will show you full details of every
entry/exit including size.
Mike
--- In amibroker@xxxxxxxxxxxxxxx, "ozzyapeman" <zoopfree@xxx> wrote:
>
> 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@> 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@>
> > 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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