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Hello,
> First, I am backtesting Intraday, not EOD, so time stamps are
relevant.
Problem is that I had to guess what you are using since I
didn't find any info
about interval in use in previous e-mail and lack of
complete information
about what you are actually doing makes the whole
information exchange longer.
Please do use support at amibroker.com
Marcin is sitting there waiting for you to help.
It is way better way as we don't want to clutter
9000+ list members' inboxes.
>How can you say that the price of buying 100,000 EUR is always fixed at
$2,500 USD no matter how the EUR.USD price fluctuates?!
> How could that simulate a realistic backtest?!
It is so because you DEFINED it so in your formula using this
single line:
MarginDeposit = 2500;
So your calculations are actually incorrect. Only 2500 is
subtracted from your account
(because you have defined constant margin).
The information about that is readily available in the
manual.
MarginDeposit is the amount paid by the
trader when entering given futures position.
Depending on instrument you are trading margin deposit can be
dynamic (
when expressed as FRACTION of price) or constant.
In your formula you have specifically decided to use CONSTANT
margin, using this line:
MarginDeposit = 2500;
That's why I said - the price does not matter, because you
have choosen to use
STATIC deposit that does not vary with price.
If you wish to use dynamic margin, you should define it
accordingly.
You can use actual dynamic number or percentage. To use
percentage - use negative numbers
For example
MarginDeposit = -10;
means that margin is 10% of contract price.
There is no substitute to re-reading the manual if in doubt.
If you have any trouble
please use SUPPORT, not this list. He is very keen to answer
any of your questions / troubles.
Sorry but I am pretty busy and I am here on this list from
time to time only and only for "public interest" things.
My task is NOT to do individual user support. It is Marcin
task, so please use support at amibroker.com
My tasks are:
a) developing the program
b) analysing and planning future development
c) writing docs
d) maintaing web pages
e) writing articles for KB/
Stocks&Commodities
f) other task involved with running business on everyday
basis
Best regards,
Tomasz
Janeczko
amibroker.com
----- Original Message -----
Sent: Thursday, January 22, 2009 5:09
AM
Subject: [amibroker] Re: How to force
Backtester to Calculate Position Size on Open Price?
Tomasz - I just read this post, and I am now royally confused.
I will chalk it up to my brain being slow, but please indulge me once
more...
First, I am backtesting Intraday, not EOD, so time stamps are
relevant.
Secondly, how can the entry price *not matter* even if I am
in FUTURES mode?
To simulate real trading, shouldn't the backtester
apply the margin deposit *dynamically*, according to the fluctuating
price?
For example:
If IB allows FOREX trading at 40:1 margin, and I am trading EUR.USD, then in order to
buy 1 share (100,000 EUR) I only need to pay for
2,500 EUR.
In order to Buy 2,500 EUR on 1/3/2008 @
23:59, the Open price was 1.2840
therefore, $3,210.00 USD (2,500 *
1.2840) must be deducted from my IB cash account in order to Buy the
2,500 EUR.
And after buying, my Position Value is $3,143.50 at the
Close of the bar (this latter part I now understand).
How can you say
that the price of buying 100,000 EUR is always fixed at $2,500 USD no matter
how the EUR.USD price fluctuates?! How could that simulate a realistic
backtest?!
Anyone else, please feel free to chime in too. I am either
totally confused on how the backteter works with Forex or something is being
lost in translation.
A bit depressing if I have actually been doing all
my backtesting wrong for the past four months. And if that's the case, I need
to understand this once and for all.
--- In
amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@xxx>
wrote:
>
> Hello,
>
> You are completely missing the
point and mix up things.
>
> First: the timestamp - if you
backtest on EOD data, the time component does not matter (should be
ignored),
> because the EOD bar timestamp depends on data source
delivering data.
> If you use true EOD data, it will be without time
component at all.
> If you are using compressed intraday data it will
use timestamp that is either beginning or end
> of interval based on
Preferences Tools->Preferences->Intraday "Timestamp ... shows:".
>
Anyway, the time component does not matter if you backest EOD system and
solely depends
> on how data source time stamps bars, and has no
indication when trade happened.
>
> Second: position sizing - you
are using FUTURES mode. In futures mode when you defined
>
MarginDeposit, entry price does not matter ! Why? Because in FUTURES mode you
just pay
> MARGIN DEPOSIT (i.e. $2500) in your case, regardless of
current price.
> Since you also defined position size of ONE contract,
the position sizing DOES NOT depend
> on Equity at all, since it will be
JUST ONE contract.
>
>
> MarginDeposit = 2500; // $2500 is
required to enter that trade, price of actual contract does NOT matter
>
in futures mode
>
> SetPositionSize(1, spsShares); // here you
say to enter ONE contract.
>
> So simply $2500 is taken from your
account and you have 1 futures contract
> open pos, regardless of
account equity and any other conditions.
>
> The price used TO
ENTER this position was CORRECT OPEN price:
>
> "The prices on
11/3/2008 are as follows: Open = 1.2840"
> 1.2840
>
>
> So everything operates as it should
>
> The EXIT was on
11/4/2008 (not 11/3) therefore data from 11/3 are irrelevant for the
exit.
> The OPEN price for 11/4/2008 apparently is 1.2574 so the exit is
at that price. Again as it should be.
>
> Best regards,
>
Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: ozzyapeman
> To: amibroker@xxxxxxxxxxxxxxx
>
Sent: Thursday, January 22, 2009 1:13 AM
> Subject: [amibroker] Re: How
to force Backtester to Calculate Position Size on Open Price?
>
>
> Here is an explicit example.
>
> In addition to OPEN
being set in the reserved variables below, OPEN is also set for all trade
prices in AA settings:
>
>
> //
-----------------------------------------------------------------------
>
// BACKTESTER SETTINGS
> //
-----------------------------------------------------------------------
>
> SetBarsRequired(10000, 0);
>
SetOption("AllowPositionShrinking", False);
>
SetOption("AllowSameBarExit", True);
> SetOption("CommissionAmount",
3.00);
> SetOption("CommissionMode", 3);
>
SetOption("FuturesMode", 1);
> SetOption("InitialEquity", 100000);
> SetOption("InterestRate",0);
> SetOption("MaxOpenPositions",
1);
> SetOption("MinPosValue", 0);
> SetOption("MinShares", 1);
> SetOption("PriceBoundChecking", False );
>
SetOption("ReverseSignalForcesExit", False);
>
SetOption("UsePrevBarEquityForPosSizing", False );
> SetTradeDelays(0,
0, 0, 0);
> SetPositionSize(1, spsShares);
> TickSize = 0.0001;
// The minimum price move of symbol for Forex
> PointValue =
100000;
> RoundLotSize = 1;
> MarginDeposit = 2500;
>
BuyPrice = SellPrice = ShortPrice = CoverPrice = Open;
>
>
> //
-----------------------------------------------------------------------
>
// SIMPLE TRADING SYSTEM
> //
-----------------------------------------------------------------------
>
> fast = Optimize( "fast", 3, 5, 10, 1 );
> slow = Optimize(
"slow", 6, 10, 15, 1 );
>
> Buy = Cross( MACD( fast, slow ),
Signal( fast, slow ) );
> Sell = Cross( Signal( fast, slow ), MACD(
fast, slow ) );
>
> Short = Sell;
> Cover = Buy;
>
>
> Backtesting the above on EUR.USD for 11/01/2008 - 12/01/2008
gives the following result ( I will just paste the first line):
>
> Ticker Trade Date Price
> EURUSD Short 11/3/2008 23:59
1.284
>
>
> Ex. date Ex. Price % chg Profit
>
11/4/2008 23:59 1.2575 -2.06% 3326.11
>
>
> % Profit
Contracts Position value Cum. Profit
> 105.81% 1 3143.5 3326.11
>
>
> # bars Profit/bar MAE MFE Scale In/Out
> 2 1663.06
-0.47% 2.45% 0/0
>
>
> The prices on 11/3/2008 are as
follows:
>
> Open = 1.2840
> Low = 1.2525
> High =
1.2900
> Close = 1.2574
>
>
> If you reverse the
Position Value, based on 40:1 leverage, you find that it was calculated on a
price of 1.2574, which is the CLOSE:
>
> $3,143.50 * 40 / 100000
= 1.2574
>
>
>
>
>
>
> --- In
amibroker@xxxxxxxxxxxxxxx, "ozzyapeman" zoopfree@ wrote:
> >
>
> 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
*********************************
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