PureBytes Links
Trading Reference Links
|
Ozzy,
I don't trade ForEx, so this is just a guess. But, based on Tomasz's
earlier replies, it would appear that you are still making the same
mistake.
Specifically; Set your MarginDeposit to -1/40 (i.e. expressed as the
percentage -0.025) and NOT hard coded at 2500. Then put the currency
to USD, as he advised, and see if that works for you.
Mike
--- In amibroker@xxxxxxxxxxxxxxx, "ozzyapeman" <zoopfree@xxx> wrote:
>
> Tomasz (and anyone else who cares to comment) -- At the risk of
turning
> myself into a major pain in the butt, I must make one more post on
this
> subject, if only for the sake of completion. I realize you already
> mentioned to email support, but I am sure others will benefit. I
> believe that the Amibroker instructions for setting up Forex may be
> incorrect. However, I am willing to concede that perhaps I am merely
> retarded (won't be the first time I've had major misconceptions).
But
> first, thank you for your very comprehensive responses on this
subject,
> both in this thread, and on the autotrade forum. I spent half the
day
> going over your posts and doing some tests with real money. I went
to
> my IB Live Account (not the virtual) and did some actual FOREX
trades.
> From my TWS account, here are some figures from one such trade, that
> will serve as a typical example:
> Short 100,000 EUR.USD @ 1.30078 entry price
>
> value: $130,078.00 USDmargin
> requirement (40:1): $ 3,251.48 cash deducted
from
> my acct: $ 3,251.48 + commission The above is no surprise, and
is
> exactly what I expected. I did several Short/Cover and Buy/Sells to
be
> sure. Now, in order to simulate the above real-world behavior with
the
> AB backtester, these are the settings I use: Set Symbol Information
-->
> EUR.USD --> Currency to EUR, and not USD as you suggested and as
> written in the Knowledge Base. I know that EUR.USD is denominated
in
> USD, but setting currency to EUR is the only way to get it to work
> properly. AFL settings:
> SetOption("FuturesMode", 1);
> SetOption("InitialEquity", 100000);
> SetOption("InterestRate",0);
> SetOption("MaxOpenPositions", 1);
> SetOption("MinPosValue", 0);
> SetOption("MinShares", 1);TradeDelays(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 = Close; With
the
> above settings, the backtester mimics the real world results. Each
lot
> of 100,000 Euro is bought with a margin deposit of (100,000 * entry
> price / 40) US dollars, as it should be, and that amount is
correctly
> deducted from Cash for each Entry. The detailed Log Report verifies
this
> behavior. If we instead set Symbol Information --> EUR.USD -->
Currency
> to USD, then each lot of 100,000 Euro gets purchased with $2,500
USD.
> And $2,500 USD is deducted from Cash for each entry, regardless of
> current EUR.USD price. That is incorrect, and does not mimic the
real
> world. Nor does it make any sense that I can fathom. In a similar
vein,
> this calculation from the Knowledge Base appears to be incorrect:
>
> http://www.amibroker.com/kb/2006/08/09/amibroker-for-forex/
> <http://www.amibroker.com/kb/2006/08/09/amibroker-for-forex/>
>
>
> "Then - once everything is configured - press BACKTEST button. Now
> let's have a look at the results list.
> The profit is calculated as follows:
>
> NumContracts * (SellPrice - BuyPrice) * PointValue
>
> In the first transaction:
> - the Entry Price is equal to 1.2154
> - the Exit Price is equal to 1.2304
> - NumContracts = 3 (since we trade 3 contracts).
> - we trade on 1% margin so deposit is $1,000 x 3 = $3,000 (that's
> expressed in Position Value)....."
>
>
>
>
> The $3,000 figure above should instead be: 3 * ($100,000*1.2154 /
100
> ) = $3,646.20
>
> I invite anyone out there to test this out for themselves on their
Forex
> broker account, using real money. Then try to simulate the trade
> behavior in the backtester. Then please tell me I'm not crazy!
>
> And if turns out that I am crazy, I will eat crow, and slink away,
only
> to repost another day in much more humble form. :-)
>
>
>
>
>
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@> wrote:
> >
> > "rather $2,500 multiplied by the dynamic exchange rate!"
> >
> > Yes, if you are using dynamic exchange rate and if currencies are
> > defined in the symbol database.
> > However EURUSD should not have "EUR" currency defined, because
> > it is denominated in DOLLARS, not in euros. EURUSD is the amount
> > of US DOLLARS you get for one euro. So it is denominated in US
> dollars,
> > as any US contract. This is different than USDJPY which is
denominated
> > in Yen (i.e. it represents amount in Yen you get for one US
dollar).
> In that case
> > the currency should be set to "Yen" in Information window.
> >
> > However for EURUSD symbol, the currency in the Information window
> should be set to USD,
> > because EURUSD quotes are denominated in US dollars.
> >
> > Best regards,
> > Tomasz Janeczko
> > amibroker.com
> > ----- Original Message -----
> > From: "ozzyapeman" zoopfree@
> > To: amibroker@xxxxxxxxxxxxxxx
> > Sent: Thursday, January 22, 2009 4:55 PM
> > Subject: [amibroker] Re: How to force Backtester to Calculate
Position
> Size on Open Price?
> >
> >
> > > 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@
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
> > >
> > > *********************************
> > > 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
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> Your email settings:
Individual Email | Traditional
<*> To change settings online go to:
http://groups.yahoo.com/group/amibroker/join
(Yahoo! ID required)
<*> To change settings via email:
mailto:amibroker-digest@xxxxxxxxxxxxxxx
mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|