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Hello,
I am a registered user of Amibroker and have sent this problem to Amibroker support before sending to the mailgroup.
By now, more than one week has passed and there is no reply.
I still do not want to believe that Amibroker cannot perform a correct futures/forex bactest and I am afraid of hearing that it can't. However, to me, my tests clearly indicate that there's something wrong with the default behaviour of "futures mode" backtesting. Shortly, you open a position, and as the position be exhausted you still have cash in your account. Even after the position size goes below zero, you still have cash and may open a position if you code accordingly. Ability of the position size to go below zero may just be another discussion topic. There is no such account in real life. Normally, the position size does not change if the position is a winner and if the position is a loser, it consumes the cash first, then consumes itself down to the maintenance margin where the broker liquidates the position.
All in all, my request from Amibroker stuff is to either invalidate my comments by writing a few sentences or clearly accept that Amibroker cannot perform a correct futures backtest and stop misleading people.
Best regards,
Ilhan
2010/1/28 İlhan Ketrez <ketrezilhan@xxxxxxxxx>
[Attachment(s) from =?UTF-8?Q?=C4=B0lhan_Ketrez?= included below]
Dear friends
I am trying to test a simple system and understand the behaviour of Amibroker testing mechanism.
I have set up an AFL file very similar to the one described here.
Testing period: 01.01.2008 - today
Initial equity: 1,000,000
Final equity: -38,033,810
The position size is -80.
Margin deposit: 1000.
First entry details are as follows:
Contract number is 800
Entry position size: 800,000. Cash: 200,000.
The details I find interesting are:
As the position grows position size also grows and cash continues as 200,000.
Later, position size goes below zero as cash floats constantly above zero.
The default result in Amibroker is something impossible to encounter in real life. (To go into a debt of 38 million)
I defined a real cash value and observed the difference via debugview.
Report and debugview log are attached including the system codes.
I hope to find a way to test correctly using Amibroker with your help.
Thank you very much in advance.
Regards,
Ilhan Ketrez
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