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Understood. Depending on the strategy, this may or may not be desirable.
It would be useful to have a configurable boolean option to control
whether the backtester continues searching for eligible trades after
finding insufficient funds.
Thanks,
Steve
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko \(groups\)"
<groups@xxx> wrote:
>
> That is not a bug but operation as per specification.
> The trades are taken in order of absolute position score.
> If trade with higher position score can not be open because of
insufficient funds,
> the backtester will not enter any more trades on given day/bar using
> signals that have lower position score.
> This prevents entering trades on poor candidates (low position score)
> only because you have run out of funds.
> If you want to add handicap for low-priced stocks, just include price
(or rather
> inversion of price) in your position score.
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: hydroblue@xxx
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Tuesday, June 02, 2009 5:06 AM
> Subject: [amibroker] Re: a bug in portfolio tester?
>
>
> > Not sure if this is the same issue you are seeing, but there is an
issue
> > involving insufficient funds when high priced stocks have a greater
> > position score than low priced stocks.
> >
> > http://www.amibroker.com/feedback/view_bug.php?bug_id=1619
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko \(groups\)"
> > groups@ wrote:
> >>
> >> Hello,
> >>
> >> There is no bug. If it says that position is not entered because of
> > insufficient funds it means
> >> that desired position can't be opened with specified size.
> >> Most probably either your formula specifies wrong (too high) size,
or
> > your round lot sizing
> >> does not allow too small pos, or you don't have "position size
> > shrinking" option enabled.
> >> If you have trouble, send the formula to SUPPORT and we will point
out
> > the error in your formula.
> >>
> >> Best regards,
> >> Tomasz Janeczko
> >> amibroker.com
> >> ----- Original Message -----
> >> From: liguoyi
> >> To: amibroker@xxxxxxxxxxxxxxx
> >> Sent: Monday, June 01, 2009 12:51 PM
> >> Subject: [amibroker] a bug in portfolio tester?
> >>
> >>
> >>
> >>
> >> 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
> >>
> >
> >
> >
> >
> > ------------------------------------
> >
> > **** IMPORTANT PLEASE READ ****
> > This group is for the discussion between users only.
> > This is *NOT* technical support channel.
> >
> > TO GET TECHNICAL SUPPORT send an e-mail directly to
> > SUPPORT {at} amibroker.com
> >
> > TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
> > http://www.amibroker.com/feedback/
> > (submissions sent via other channels won't be considered)
> >
> > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> > http://www.amibroker.com/devlog/
> >
> > Yahoo! Groups Links
> >
> >
> >
>
------------------------------------
**** IMPORTANT PLEASE READ ****
This group is for the discussion between users only.
This is *NOT* technical support channel.
TO GET TECHNICAL SUPPORT send an e-mail directly to
SUPPORT {at} amibroker.com
TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
(submissions sent via other channels won't be considered)
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