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.
> > > >
> > >
> >
>