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Its not assigning a trade price outside the boundaries of the bar. Its assigning it to the low of the bar, not the close. So where does lower than low come in to play?
-----Original Message-----
From: "progster01" <progster@xxxxxxxxxxxxxxxxxx>
Date: Wed, 30 Dec 2009 18:21:07
To: <amibroker@xxxxxxxxxxxxxxx>
Subject: [amibroker] Re: Backtester is opening positions at bar *low*,not at *close*
No, he meant "lower than low" as stated.
The reason is that the backtester "knows" not to assign a trade price outside the boundaries of the bar.
--- In amibroker@xxxxxxxxxxxxxxx, "Potato Soup" <potatosoupz@xxx> wrote:
>
> You mean with prices lower than "Close", not Low right?
> -----Original Message-----
> From: Tomasz Janeczko <groups@xxx>
> Date: Wed, 30 Dec 2009 16:48:53
> To: <amibroker@xxxxxxxxxxxxxxx>
> Subject: Re: [amibroker] Re: Backtester is opening positions at bar *low*,
> not at *close*
>
> Hello,
>
> Such behaviour can only have one explanation, you
> are overriding BuyPrice/ShortPrice with prices lower than Low.
> It can happen for example if you are referring to previous day prices
> (using Ref())
> that can easily be lower than todays.
> If you can not spot the error in formula send it to support and Marcin
> will tell you where
> error is.
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
>
> On 2009-12-30 13:12, Potato Soup wrote:
> >
> >
> > I have that value set to 0% in the Portfolio tab. Has been that way
> > for some tmie. I will run the test with detailed reports. Thanks.
> >
> > ------------------------------------------------------------------------
> > *From:* Mike <sfclimbers@xxx>
> > *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 <mailto:amibroker@xxxxxxxxxxxxxxx>,
> > Potato Soup <potatosoupz@> 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@>
> > > To: amibroker@xxxxxxxxxxxxxxx <mailto: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 <mailto: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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>
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This group is for the discussion between users only.
This is *NOT* technical support channel.
TO GET TECHNICAL SUPPORT send an e-mail directly to
SUPPORT {at} amibroker.com
TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
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(submissions sent via other channels won't be considered)
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
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**** IMPORTANT PLEASE READ ****
This group is for the discussion between users only.
This is *NOT* technical support channel.
TO GET TECHNICAL SUPPORT send an e-mail directly to
SUPPORT {at} amibroker.com
TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
(submissions sent via other channels won't be considered)
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
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