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Thanks again for the feedback Tomasz. I do realize you are busy with
development and what not, and really appreciate all the responses you
make on this board. Frankly, I don't know where you get the time to do
all that you manage to do!
And it's certainly not my intention to clutter up the board. But I
think that there are a lot of others out there who might share my
confusion on backtesting Forex. The topic does come up from time to time.
I will use support for further questions on this issue. But I did want
to point out that, when clicking on detailed log, I see that the
backtester is in fact working the way I outlined, i.e. it is not
deducting a static $2,500, as you seem to be saying, but rather $2,500
multiplied by the dynamic exchange rate!
Anyway, I am sure you are correct in what you were trying to point out
to me, but I must be understanding things differently. I will send an
email to Marcin to see if he can alleviate my confusion. :-)
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@xxx> wrote:
>
> 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.
> http://www.amibroker.com/guide/h_futbacktest.html
>
> 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.
>
> (again please look at:
http://www.amibroker.com/guide/h_futbacktest.html - it is all
described there)
>
> 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 -----
> From: ozzyapeman
> To: amibroker@xxxxxxxxxxxxxxx
> 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@> 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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