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Woodshedder -
I will answer your question about the low-level CBT explanation, but I want to see if I can give a simpler example in the morning when I'm fresh.
In the meantime, I'd suggest looking for these lines at the top of the Profit Table AFL -
YearChange = yr != Ref( yr, -1 );
MonChange = mo != Ref( mo, -1 );
You should test the following, but I believe that it will work -
YearChange = yr != Ref( yr, 1 );
MonChange = mo != Ref( mo, 1 );
-- BruceR
--- In amibroker@xxxxxxxxxxxxxxx, "woodshedder_blogspot" <woodshedder_blogspot@xxx> wrote:
>
> Thanks Bruce. I'll look at the profit table to see about modifying it as #3 is my preferred method.
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Bruce" <brucer@> wrote:
> >
> > This is an easy one, so I'll take it while I'm here. This has been discussed before relative to the AFL that the report is based on. There are slightly different definitions of monthly returns.
> >
> > 1. You are looking at it as open on 9/1 to close on 9/30.
> > 2. That report looks at it as close on 9/1 to close on 9/30.
> > 3. Most of the end of day fund traders look at it as end of day 8/31 to end of day 9/30.
> >
> > Dealer's choice.
> >
> > The profit table is easily modified to reflect #3. Little harder to do #1. Having it reflect any specified backtest trade prices -> problematic.
> >
> > -- BruceR
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "woodshedder_blogspot" <woodshedder_blogspot@> wrote:
> > >
> > > The problem I'm having is the built-in profit table, accessible from AA-->Report-->Charts menu, seems to be giving me a different monthly result from the backtester results.
> > >
> > > Try this to recreate what I'm seeing...
> > >
> > > The symbol I'm using is SPY.
> > > Use current symbol.
> > > Date range = 9/1/09-9/30/09
> > > BuyPrice=Open with 0 delay
> > > SellPrice=Close with 0 delay
> > > No commissions, long only.
> > >
> > > Buy = C > 1;
> > > Sell = 0;
> > >
> > > Click on Backtest. The report shows a change of 3.57%
> > > Now click on Report-->Charts, and look at September...The table shows a return of 5.4%
> > >
> > > Shouldn't the backtest report change for the SPY equal the September change on the Profit Table? What am I missing?
> > >
> > > Thanks!
> > >
> >
>
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