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Sorry, hit send too quickly. I see that your position sizing appears in the code, and I meant to say ratio of the *bar's* volume, not of the *day's* volume.
But, you get the point. There are many settings that affect whether a trade is placed. Go through all the options of the AA window and study them carefully. Position size shrinking is one of the 'usual suspects' in these cases. Turn it on and see if it helps.
Mike
--- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@xxx> wrote:
>
> Just stating opening equity is not enough information. What is your position sizing, what is the max number of trades, do you allow position size shrinking, would your trade represent too large a ratio of the days trading volume, are you using commissions? All of these will impact whether a trade is taken or not.
>
> Mike
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Peter" <aretep@> wrote:
> >
> > 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 <mailto:amibroker%40yahoogroups.com> ,
> > "fcee150206014" <xk9.xk9@> 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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