RE: [amibroker] Re: Why raw signals different than actual trades?

["Peter" <aretep@xxxxxxxxxx>]

Hi

I’m having similar problems with some trades being missed on 1 minute data. The arrows for actual trades are correct but some trades are missed by the back tester. Below is the code I used, Equity is 1,000,000.

 

As I notice if I change to hour bars there is no problem I wonder if data integrity an issue?

 

Any help would be appreciated

 

Thanks

Peter

 

 

SetOption("FuturesMode",True);

PositionSize =  MarginDeposit = 1;

SetOption("AllowSameBarExit", True);

SetTradeDelays(0,0,0,0);

SetBacktestMode( backtestRegularRaw );

 

BuyPrice = C;

SellPrice = C;

 

MA1 = MA(C,5);

MA2 = MA(C,25);

 

Buy = Cross(MA1,MA2);

Sell = Cross(MA2,MA1);

 

From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Mike
Sent: Thursday, 8 October 2009 7:55 a.m.
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: Why raw signals different than actual trades?

 

 

As alluded to by Mark, the default backtest behavior will only allow one position per symbol at a time. Also, your position size may be causing you to run out of funds, and your Max Positions setting may be preventing you from taking on more positions (if trading a portfolio of stocks). See the AA settings, SetPositionSize function, SetOption function.

Mike

--- In amibroker@xxxxxxxxxxxxxxx, "fcee150206014" <xk9.xk9@xxx> wrote:
>
> Hello,
>
> I've been trying to backtest some old ideas but I have a problem, the system recognizes all the raw signals but ignores more than half when doing actual trades.
>
>
>
> Thank you for your help.
>

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