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Did you read what I wrote on -at list?
Interactive Brokers is NOT a typical Forex dealer.
The instructions on forex on KB were mere example of
one of many possibilities
and actual settings of course vary from
broker/dealer to broker/dealer as each broker/dealer on this
planet sets its own margin rules.
Interactive Brokers do not operate on full 100'000 lots
only (they allow you to buy for example 25000 EUR) and
report actual CASH positions, instead of lots. If you actually
DO the trading with them
you will quickly find out that you end up with EUR33.12 and
JPY2314 "remainings" on your account
if you trade EURUSD or JPY because of the fact that those CASH
positions earn interest.
That would never happen with true *Forex* dealer that would do
overnight rollover.
Also IB does NOT use fixed deposit. They use percentage
deposit (2.5%),
therefore you should always use MarginDeposit = -2.5 as
negative sign means percent.
As instructed on the -at list the settings
for IB are
SetPositionSize( 100000, spsShares );
MarginDeposit = -2.5;
and currency set to USD.
Typical Forex dealer as GFT trades in 100'000 lots and
*reports* lots, unlike IB.
That's why you can use 1 "share" = 1 lot paradigm.
Of course you can insist on using lots with IB, however, it is
not the way they operate.
You are so much concerned about deposit which in fact does not
matter at all because
it is eventually returned in full to your account once you
close the position, so dollar profit
does NOT depend on deposit (only percent profit
does).
However if you set incorrect currency for the symbol,
you are risking gettting your profits incorrect
because your profits will be transfered back to base currency
via conversion.
Best regards,
Tomasz
Janeczko
amibroker.com
----- Original Message -----
Sent: Friday, January 23, 2009 1:57
AM
Subject: [amibroker] Re: How to force
Backtester to Calculate Position Size on Open Price?
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 USD
margin
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:
"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@xxx>
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@xxx
> 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
*********************************
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