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



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Mike

The detailed log identified the reason which was due to low volume.

Thanks for your help as I didn’t appreciate the information available in the detailed log.

Peter

 

From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Mike
Sent: Friday, 9 October 2009 7:33 p.m.
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: Why raw signals different than actual trades?

 

 

Change the Report settings of the AA window to "Detailed Log", run your test again, and see if it tells you why the trade was skipped.

Mike

--- In amibroker@xxxxxxxxxxxxxxx, "Peter" <aretep@xxx> wrote:
>
> Hi Mike
>
> Thanks for the advise.
>
> The first trade missed is the 4th trade. The MA cross is quite defined and
> the trade arrow for the buy and sell marks the trade but the trade isn't
> listed as a trade in the AA trade window.
>
> The ticker is the Aussi SPI Futures 1 minute. There is volume on the bar
> but I don't think this is needed as volume isn't a BUY criteria. FX doesn't
> have volume and back testing works. I have tried all the options in the back
> Tester setting including Position Size Shrinking but with no luck.
>
> I must be missing the obvious so any further advise from anyone would be
> welcome.
>
> Thanks
>
> Peter
>
>
>
> From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf
> Of Mike
> Sent: Friday, 9 October 2009 2:46 p.m.
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Why raw signals different than actual trades?
>
>
>
>
>
> 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 <mailto:amibroker%40yahoogroups.com> ,
> "Mike" <sfclimbers@> 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 <mailto:amibroker%40yahoogroups.com> ,
> "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%40yahoogroups.com>
> [mailto:amibroker@xxxxxxxxxxxxxxx <mailto:amibroker%40yahoogroups.com> ] On
> Behalf
> > > Of Mike
> > > Sent: Thursday, 8 October 2009 7:55 a.m.
> > > To: amibroker@xxxxxxxxxxxxxxx <mailto:amibroker%40yahoogroups.com>
> > > 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>
> <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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