--- In amibroker@yahoogroups.com, "Mike" <sfclimb...@...> wrote:
>
> You have not indicated how you generated your log file (or at least it is not
> showing up on the web forum). But, the backtester will reject trades due to a
> number of settings that your log would appear not to be considering; e.g. max
> positions, insufficient funds, position size shrinking, redundant signals,
> etc. etc.
>
> AmiBroker is a very mature product with thousands of users. When something is
> not working out the way you expect, 99.9% of the time it's going to be
> because of something we the users are doing incorrectly, rather than what
> AmiBroker is doing incorrectly ;)
>
> Run your backtest with detailed reporting (see AA Settings) and you will get
> a bar by bar breakdown of signals, entries, exits and reason for rejections.
>
> Mike
Hi Mike,
You've been a great help, and I agree with you fully, I figure it's something
I'm either unintentionally doing wrong or I just haven't found the proper
switch yet to accept all trades.
To that end I re-wrote the code to avoid any overlapping of Buy/Sell pairs
(below). Other than it messes up the trade dates anyone see a problem with
this not collecting every trade?
One must learn to crawl before one can run,
Michael
Buy/Sell/Stops from Logfile:
********* Symbol : FAS *********
Setup Vars:
symbolsLow-17.4000, symbolsHigh-39.7933, buyPriceMin-15.6500,
buyPriceMax-39.8000
Optimization Vars:
buyPriceStart-17.0500, profitPctChange-0.0800, stopLossPctChange-0.0600,
tradeActPctChange-0.0700
BuyPrices: [0] Buy-17.0500, Activate-15.8565, Stop-16.0270, Profit-18.4140
BuyPrices: [1] Buy-18.4100, Activate-17.1200, Stop-17.3000, Profit-19.8800
BuyPrices: [2] Buy-19.8800, Activate-18.4800, Stop-18.6800, Profit-21.4700
BuyPrices: [3] Buy-21.4700, Activate-19.9600, Stop-20.1800, Profit-23.1800
BuyPrices: [4] Buy-23.1800, Activate-21.5500, Stop-21.7800, Profit-25.0300
BuyPrices: [5] Buy-25.0300, Activate-23.2700, Stop-23.5200, Profit-27.0300
BuyPrices: [6] Buy-27.0300, Activate-25.1300, Stop-25.4000, Profit-29.1900
BuyPrices: [7] Buy-29.1900, Activate-27.1400, Stop-27.4300, Profit-31.5200
BuyPrices: [8] Buy-31.5200, Activate-29.3100, Stop-29.6200, Profit-34.0400
BuyPrices: [9] Buy-34.0400, Activate-31.6500, Stop-31.9900, Profit-36.7600
BuyPrices: [10] Buy-36.7600, Activate-34.1800, Stop-34.5500, Profit-39.7000
BuyPrices: [11] Buy-39.7000, Activate-36.9200, Stop-37.3100, Profit-42.8700
BuyPrices: [12] Buy-42.8700, Activate-39.8600, Stop-40.2900, Profit-46.2900
// This writes the above table //
op = StrFormat("BuyPrices: [%g] Buy-%.4f, Activate-%.4f, Stop-%.4f,
Profit-%.4f\n",
i,buyPrices[i],tradeActivationPrices[i],myStopLosss[i],sellPrices[i] );
fputs( op, fhLog );
{skipping setup, it's at michaels-musings.com if you want to see it}
// numBuyPoints is 12.
// stickBuySellAt starts at zero.
for ( i = 0; i < BarCount; i++ ) // Loop over all bars in the chart
{
for ( j = 0; j < numBuyPoints; j++ ) // Loop over all Buy points
{
if ( openPos[j] ) // Have an open position, check to sell it
{
if ( Low[i] < myStopLosss[j] ) // Check for Stops First
{
BuyPrice[stickBuySellAt] = buyPrices[j];
Buy[stickBuySellAt] = True;
stickBuySellAt = stickBuySellAt + 1;
SellPrice[stickBuySellAt] = myStopLosss[j];
Sell[stickBuySellAt] = True;
stickBuySellAt = stickBuySellAt + 1;
openPos[j] = False; // No longer have open position
lastLow[j] = iif( Close[i] < SellPrice[i], Close[i], SellPrice[i] ); //
ReSet lastLow[j] for Buy Check
if ( writeLog == TRUE )
{
op = Name() + ",StopLoss";
op = op + StrFormat(",%02.0f-%02.0f-%02.0f,%02.0f:%02.0f:%02.0f", y[
i ], m[ i ], d[ i ], r[ i ], e[ i ], n[ i ] );
op = op + StrFormat(",%g,%.4f,%.4f,%.4f\n", j, buyPrices[j],
myStopLosss[j], stickBuySellAt );
fputs( op, fhLog );
}
}
else
{
if ( High[i] > sellPrices[j] ) // Check for Profits
{
BuyPrice[stickBuySellAt] = buyPrices[j];
Buy[stickBuySellAt] = True;
stickBuySellAt = stickBuySellAt + 1;
SellPrice[stickBuySellAt] = sellPrices[j];
Sell[stickBuySellAt] = True;
stickBuySellAt = stickBuySellAt + 1;
openPos[j] = False; // No longer have open position
lastLow[j] = iif( Close[i] < SellPrice[i], Close[i], SellPrice[i] );
// ReSet lastLow[j] for Buy Check
if ( writeLog == TRUE )
{
op = Name() + ",Profit";
op = op + StrFormat(",%02.0f-%02.0f-%02.0f,%02.0f:%02.0f:%02.0f",
y[ i ], m[ i ], d[ i ], r[ i ], e[ i ], n[ i ] );
op = op + StrFormat(",%g,%.4f,%.4f,%.4f\n", j, buyPrices[j],
SellPrice[i], stickBuySellAt );
fputs( op, fhLog );
}
}
}
}
else // Nothing open on this BuyPoint, see if we can buy something
{
if ( ( lastLow[j] < tradeActivationPrices[j] )
AND ( High[i] > buyPrices[j] )
AND ( buyPrices[j] > Low[i] )
)
{
// Do NOT assign BUY or BUYPRICE, the sell has to do that to keep
continuity
// BuyPrice[i] = buyPrices[j];
// Buy[i] = True;
openPos[j] = True; // Now have an open position
if ( writeLog == TRUE )
{
op = Name() + ",Bought";
op = op + StrFormat(",%02.0f-%02.0f-%02.0f,%02.0f:%02.0f:%02.0f", y[
i ], m[ i ], d[ i ], r[ i ], e[ i ], n[ i ] );
op = op + StrFormat(",%g,%.4f\n", j, buyPrices[j] );
fputs( op, fhLog );
}
}
// lastLow[j] = Min( Close[i], Min( lastLow[j], BuyPrice[i] ) ); // Set
lastLow[j] for Buy Check, doesn't matter if we bought this bar, lastLow[j]
won't be used in that case...
if ( ( lastLow[j] > Close[i] )
OR ( lastLow[j] > BuyPrice[i] )
)
{
lastLow[j] = iif( BuyPrice[i] > Close[i] , Close[i] , BuyPrice[i] );
}
}
}
}
