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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.
People didn't vote against a different forum, only against the only
choice offered, which was a forum without messages by mail.
If Tomasz wanted a new forum we would have one already!
Since it was only yesterday that Tomasz had to remind us that his
answers on this board detract from development time then that
confirms my view that we are all losers but he is the biggest loser
of all by not moving to a better format.
> Maybe in the future a forum will be found that can also email all
> threads, for those that want to stick to email.
Although I am not at all optimistic that my view will prevail I post
some relevant points anyway:
- forum software with messages by mail exist but Tomasz said he will
not pay for software
- perhaps free/open source software, complete with email service, is
out there somewhere (I don't know because I don't follow that type of
thing)
- PHBB was the considered version, in the aforementioned poll, and it
was described in the poll preamble as being devoid of mail but it
does have some mail features (I don't use it and don't know exactly
what it provides)
- PHBB does have some comm modes, a few of which are superior to the
mail that comes from this list e.g. users can elect to receive mail
notification limited to posts that reply to their topics?
- PHBB has mail digest, jabber, messaging, private emails etc (are
they any good?)
http://www.phpbb.com/support/documentation/3.0/adminguide/acp_general.
php
- PHBB is open source and allows/encourages user added features e.g.
add on for RSS feed exists
http://www.phpbb.com/community/viewtopic.php?f=69&t=1189825
Possibly a mod for mailing messages exists OR Tomasz OR the community
could write one but once again, as always, it comes down to what
Tomasz wants OR the goodwill of the community.
Note: from my experience at the UKB Tomasz emphatically does not want
to write mods for open source software, in fact just the opposite.
My impression, gathered there, was that he does not have the time, or
the inclination, to intensively support community projects.
--- In amibroker@xxxxxxxxxxxxxxx, "ozzyapeman" <zoopfree@xxx> wrote:
>
> 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@>
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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