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Hi,
I am trying to test the scale in/out in AM5.2, and base the code on the AM tutorial on scalein/out. I found that, sometimes, portfolio backtester doesn't enter a trade, even though there are enough cash. For example, I set the backtester initial fund to 100,000, max 4 open positions, and each position will use 10,000, report to detailed log mode. It is very strange that backtester doesn't enter the trade on some days, like 14/4/09 and shows message.
CTV not entered because of insufficient funds
But there is 80,514.9 cash available. A trade only needs 10,000
Anyone has seen this issue before? Is it a bug?
thanks,
Steven
![]() Date Information
3/4/2009
Entry signals(score):
Exit signals:
0 Open Positions: , Equity: 100000, Cash: 100000
6/4/2009
Entry signals(score):ALV=Buy(68.6973), YRCW=Buy(66.7675), BCS=Buy(64.5193), ACH=Buy(63.5376), BGC=Buy(63.3302), JBL=Buy(62.4348), TIN=Buy(60.5582), FCX=Buy(60.5032),
Exit signals:
Enter Long, ALV, Price: 22.53, Shares: 440, Commission: 2, Rank: 68.6973, Equity 99996, Margin Loan: 0, Fx rate: 1
Enter Long, YRCW, Price: 5.42, Shares: 1840, Commission: 2, Rank: 66.7675, Equity 99992, Margin Loan: 0, Fx rate: 1
Enter Long, BCS, Price: 10.24, Shares: 970, Commission: 2, Rank: 64.5193, Equity 99988, Margin Loan: 0, Fx rate: 1
Enter Long, ACH, Price: 18.01, Shares: 550, Commission: 2, Rank: 63.5376, Equity 99984, Margin Loan: 0, Fx rate: 1
4 Open Positions: , ALV (+440), , YRCW (+1840), , BCS (+970), , ACH (+550), Equity: 99816.3, Cash: 60267.7
7/4/2009
Entry signals(score):LAMR=Buy(68.0092), CE=Buy(66.6134), ALV=Buy(62.2498), ACH=Buy(59.5062), FCX=Buy(59.2346), BGC=Buy(56.7888), HPT=Buy(55.0469), BX=Buy(53.7648),
Exit signals:BCS=Sell, CI=Sell, FRPT=Sell, JBL=Sell, TIN=Sell, YRCW=Sell,
Exit Long, YRCW, Price: 5.17, (Avg. exit pr. 5.17), Shares: 1840, Commission: 2, (Total comm.: 4), Profit: -464 (-4.65 %), Entry rank:66.7675, Equity: 98051.8, Fx rate: 1
Exit Long, BCS, Price: 9.468, (Avg. exit pr. 9.468), Shares: 970, Commission: 2, (Total comm.: 4), Profit: -752.84 (-7.58 %), Entry rank:64.5193, Equity: 98051.8, Fx rate: 1
Enter Long, LAMR, Price: 13.72, Shares: 720, Commission: 2, Rank: 68.0092, Equity 97919.8, Margin Loan: 0, Fx rate: 1
Enter Long, CE, Price: 15.6003, Shares: 640, Commission: 2, Rank: 66.6134, Equity 97915.8, Margin Loan: 0, Fx rate: 1
4 Open Positions: , ALV (+440), , ACH (+550), , LAMR (+720), , CE (+640), Equity: 97384.1, Cash: 59093.9
8/4/2009
Entry signals(score):PAY=Buy(66.8912), HOG=Buy(62.6152), ACH=Buy(61.577), BGC=Buy(59.7941), DB=Buy(59.7539), HPT=Buy(57.583), CI=Buy(56.9387), FCX=Buy(56.7986),
Exit signals:LEN=Sell, MBI=Sell, XCO=Sell,
4 Open Positions: , ALV (+440), , ACH (+550), , LAMR (+720), , CE (+640), Equity: 98179, Cash: 59093.9
9/4/2009
Entry signals(score):CE=Buy(72.8305), VMED=Buy(72.798), ALV=Buy(70.1462), PAY=Buy(68.8664), HOG=Buy(68.3335), ACH=Buy(65.9337), DB=Buy(65.6035), BGC=Buy(64.8912),
Exit signals:ALV=Scale-Out, CE=Scale-Out, CI=Scale-Out, DB=Scale-Out, HOG=Scale-Out, HPT=Sell, M=Sell, PAY=Scale-Out, STT=Sell, WSM=Sell,
Scale-Out Long ALV, Price 24.783, Shares 220, Fx Rate 1, Number of shares - Current: 220, Exited: 220, Total Cost: 9913.2, Avg. Entry Price 22.53, Avg. Exit Price 24.783, Avg Fx. Rate Entry 1, Exit 1, Entry+scaling commission 4
Scale-Out Long CE, Price 17.1603, Shares 320, Fx Rate 1, Number of shares - Current: 320, Exited: 320, Total Cost: 9984.19, Avg. Entry Price 15.6003, Avg. Exit Price 17.1603, Avg Fx. Rate Entry 1, Exit 1, Entry+scaling commission 4
4 Open Positions: , ALV (+220), , ACH (+550), , LAMR (+720), , CE (+320), Equity: 101133, Cash: 70033.4
13/4/2009
Entry signals(score):CE=Buy(74.071), SLT=Buy(73.3671), VMED=Buy(73.2845), CTV=Buy(72.7264), AXP=Buy(72.5197), HAR=Buy(71.7026), LAMR=Buy(71.2575), HBI=Buy(70.9452),
Exit signals:ALV=Sell, FCX=Scale-Out, SPW=Sell,
Exit Long, ALV, Price: 22.725, (Avg. exit pr. 23.754), Shares: 220, Commission: 2, (Total comm.: 6), Profit: 532.56 (5.37 %), Entry rank:68.6973, Equity: 100602, Fx rate: 1
Enter Long, SLT, Price: 8.36, Shares: 1190, Commission: 2, Rank: 73.3671, Equity 100569, Margin Loan: 0, Fx rate: 1
4 Open Positions: , ACH (+550), , LAMR (+720), , CE (+320), , SLT (+1190), Equity: 101877, Cash: 65080.5
14/4/2009
Entry signals(score):CTV=Buy(75.8929), WYN=Buy(74.2171), ACH=Buy(68.8466), VMED=Buy(68.2965), YGE=Buy(68.2023), GT=Buy(68.0403), SLT=Buy(68.011), CE=Buy(68.0085),
Exit signals:ACH=Scale-Out, AXP=Sell, BX=Sell, CMC=Scale-Out, LAMR=Sell, MAS=Sell, SFD=Sell,
Scale-Out Long ACH, Price 19.811, Shares 270, Fx Rate 1, Number of shares - Current: 280, Exited: 270, Total Cost: 9905.5, Avg. Entry Price 18.01, Avg. Exit Price 19.811, Avg Fx. Rate Entry 1, Exit 1, Entry+scaling commission 4
Exit Long, LAMR, Price: 14.013, (Avg. exit pr. 14.013), Shares: 720, Commission: 2, (Total comm.: 4), Profit: 206.96 (2.10 %), Entry rank:68.0092, Equity: 101850, Fx rate: 1
CTV not entered because of insufficient funds
3 Open Positions: , ACH (+280), , CE (+320), , SLT (+1190), Equity: 101367, Cash: 80514.9
15/4/2009
Entry signals(score):WYN=Buy(76.2004), VMED=Buy(72.2697), CTV=Buy(70.5929), STP=Buy(69.4714), LAMR=Buy(68.8434), SLT=Buy(68.4844), BCS=Buy(68.3006), CE=Buy(67.2862),
Exit signals:ACH=Sell, CTX=Sell, DRH=Sell, HOG=Sell, JAVA=Sell, MBI=Sell, PAY=Sell, TIN=Sell, YGE=Sell,
Exit Long, ACH, Price: 21.612, (Avg. exit pr. 20.7279), Shares: 280, Commission: 2, (Total comm.: 6), Profit: 1488.83 (15.03 %), Entry rank:63.5376, Equity: 101677, Fx rate: 1
WYN not entered because of insufficient funds
2 Open Positions: , CE (+320), , SLT (+1190), Equity: 101973, Cash: 86564.2
16/4/2009
Entry signals(score):WYN=Buy(78.7895), VMED=Buy(75.8454), CTV=Buy(74.1817), GT=Buy(73.9597), BCS=Buy(70.9163), CE=Buy(69.2603), JBL=Buy(68.0727), CTX=Buy(66.4456),
Exit signals:BCS=Scale-Out, CTV=Scale-Out, FRPT=Sell, GT=Scale-Out, JBL=Scale-Out, JNY=Sell, LAMR=Sell, VMED=Scale-Out, WYN=Scale-Out,
WYN not entered because of insufficient funds
2 Open Positions: , CE (+320), , SLT (+1190), Equity: 101940, Cash: 86564.2
17/4/2009
Entry signals(score):GT=Buy(76.3274), LHO=Buy(74.57), JNY=Buy(71.7901), CTX=Buy(69.0205), ALV=Buy(68.3688), CE=Buy(68.0378), BGC=Buy(65.6471), CMC=Buy(65.4784),
Exit signals:AXA=Scale-Out, BCS=Sell, BGC=Scale-Out, DB=Sell, DSX=Scale-Out, SLT=Sell, VMED=Sell, WYN=Sell,
Exit Long, SLT, Price: 7.848, (Avg. exit pr. 7.848), Shares: 1190, Commission: 2, (Total comm.: 4), Profit: -613.28 (-6.16 %), Entry rank:73.3671, Equity: 101692, Fx rate: 1
GT not entered because of insufficient funds
1 Open Positions: , CE (+320), Equity: 101512, Cash: 95901.3
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