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I agree. But last couple of times this group voted, more people voted
to keep the Yahoo email list than move to a forum.
Maybe in the future a forum will be found that can also email all
threads, for those that want to stick to email.
And for the rest of us, the superior archiving and search ability of
forums will be finally be available. There should be sub boards for
each broad category of AmiBroker, stickies on each board for popular
topics and "open source" AFLs that everyone can tweak over time...
--- In amibroker@xxxxxxxxxxxxxxx, "sidhartha70" <sidhartha70@xxx> wrote:
>
> If they can ever find it in 6 months time - which I doubt, and that's
> the main reason a top notch forum would be better than a user group in
> my humble opinion...
>
> --- In amibroker@xxxxxxxxxxxxxxx, "ozzyapeman" <zoopfree@> wrote:
> >
> > Thanks, Tomasz. It's all finally clear now, and makes sense.
> >
> > On the bright side, at least this thread will supply future answers to
> > anyone who gets as confused as I was in setting Forex correctly in the
> > backtester.
> >
> > Thanks again!
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@> wrote:
> > >
> > > 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 -----
> > > From: ozzyapeman
> > > To: amibroker@xxxxxxxxxxxxxxx
> > > 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:
> > >
> > >
> > > 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
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