From:
Mike <sfclimbers@xxxxxxxxx>
To:
amibroker@xxxxxxxxxxxxxxx
Sent: Wed, December
30, 2009 1:32:53 AM
Subject: [amibroker]
Re: Backtester is opening positions at bar *low*, not at *close*
There is a setting in AA Settings that prevents taking a position if
your volume exceeds a certain threshold of the bar's volume. If you
were right on the cusp of that threshold with a lessor commission,
perhaps with the greater commission (fewere units, same total price)
you squeeked under the limit and took the trade.
Best way to compare is to set AA Settings reporting to detailed, then
run under both scenarios and compare the output. You will see why each
signal was accepted/rejected.
Mike
--- In
amibroker@xxxxxxxxxxxxxxx,
Potato Soup
<potatosoupz@xxx> wrote:
>
> Well I have my account balance at $350k and I'm trading no more
than $30k max in positions, how on earth could it skip a trade with
that? I am using 2:1 margin but with that ratio of capital to exposure
it should be impossible to have an effect. What else could be the
reason?
>
> Also I have no changes or uses of BuyPrice/SellPrice and I have
trade delays set to 0 for all four types of orders.
>
> Given all that, what other reasons could cause this behavior?
>
> Thanks for your help, as always.
>
>
>
>
> ________________________________
> From: Mike
<sfclimbers@xxx>
> To:
amibroker@xxxxxxxxxxxxxxx
> Sent: Tue, December 29, 2009 11:52:48 PM
> Subject: [amibroker] Re: Backtester is opening positions at bar
*low*, not at *close*
>
> 1. Changing *any* setting related to pricing can affect your
trades. All it takes is one penny too little in your account to prevent
the taking of a trade, which in turn would mean having more funds
available for the next opportunities (i.e. able to take other trades)
that would not have been there if the original trade were able to be
taken at a penny less.
>
> 2. If you've confirmed that the AA Settings window has the trade
price marked as Close, and that you have not put in an override in your
AFL code (look for BuyPrice, SellPrice and Signal alteration in custom
backtester code), then check too that you have not set any trade
delays. A trade delay will cause the next bar(s) price to be used which
will likely be different than that of the bar on which the signal was
triggered.
>
> Mike
>
> --- In
amibroker@xxxxxxxxxxxxxxx,
Potato Soup <potatosoupz@> wrote:
> >
> > Now this is really weird. I just ran the backtester again and
also noticed that the trade opening and closing is happening on the LOW
of bars that have signals, not on the CLOSE, as I've defined it in the
settings for the backtester. I have it set to execute trades on Close
for all four parameters (buy,sell,short,cover).
> >
> > Why would this be happening? I haven't overriden it in my AFL
either. It's completely throwing off the results of the test. Obviously
there's no way to know what the low of a bar would be until the bar is
complete, and in the past.
> >
>
>
>
>
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