|
Ed,
This is exactly the way it should work. The lack of reading
the documentation by the user does not constitute program bug.
You are changing settings without reading
documentation.
If you do not want to read docs, at least DO NOT CHANGE
DEFAULTS.
There is another setting that you should leave at DEFAULT settings, it is
"Allow position size shrinking" which is
by default TRUE and should remain TRUE for 90% of
cases.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
Sent: Tuesday, March 14, 2006 9:38
AM
Subject: RE: [amibroker] Backtester not
following some entry signals
That's just it - equity never drops below 97k and my min position
size is only 2k. Positions aren't limited on the upside in any way
(volume settings or any of the relevant variables).
I
did just discover that unchecking the box "Use previous bar equity for
position sizing" fixes the problem. I'm at a loss for why that would matter,
since the previous bar's equity was always more than sufficient to make any
trades; it was always at least 97% of opening equity and I set it as high as
$10 million, without any change in the backtester's behavior. Since the
backtester did pick up some stop-and-reverse trades, this seems like a
bug.
-Ed
there must be a
limiting factor for the trades not to be taken
try increasing equity, max
positions, or changing the positionsize
Cheers
Graham
AB-Write
>< Professional AFL Writing Service
Yes, I write AFL code to your
requirements
http://e-wire.net.au/~eb_kavan/ab_write.htm
On
3/14/06, Ed Cottrell <[EMAIL PROTECTED]>
wrote:
>
>
> Oh. Sorry about that; I saw two messages and
thought the second was just a correction of the first.
>
> In
response to your comments on the actual backtest: yes; these are instances
where an exit (either sell or cover) is signaled, along with a reverse entry
(short or buy long), both on the same bar. The system should do a stop and
reverse, but the backtester misses some of them.
>
>
Thanks,
> Ed
>
>
>
> -----Original
Message-----
> From: [email protected]
[mailto:[EMAIL PROTECTED] On Behalf Of Graham
>
> Sent:
Monday, March 13, 2006 11:12 PM
> To:
[email protected]
> Subject: Re: [amibroker] Backtester not
following some entry signals
>
>
>
> -----Original
Message-----
> From: [email protected]
[mailto:[EMAIL PROTECTED] On Behalf Of Graham
>
> Sent:
Monday, March 13, 2006 11:12 PM
> To:
[email protected]
> Subject: Re: [amibroker] Backtester not
following some entry signals
>
>
>
>
> I
realise that the shapes do not make the signals, it was that you created a
complex bit of code for a simple thing for the plotshapes. It may have been
a long shot that the plotshapes code was incorrectly showing
signals
>
> My other comments related to
backtest.
>
>
> --
> Cheers
> Graham
>
AB-Write >< Professional AFL Writing Service
> Yes, I write AFL
code to your requirements
> http://e-wire.net.au/~eb_kavan/ab_write.htm
>
>
On 3/14/06, Ed Cottrell <[EMAIL PROTECTED]> wrote:
>
>
> >
> > Graham,
> >
> > Actually,
the arrows plot fine - I just added them, today, to help me see the signals
more clearly. The problem is that the backtester isn't picking up all of the
trades that are signaled (whether or not the PlotShapes commands are in my
code).
> >
> >
> > -Ed
> >
>
>
> >
> > -----Original Message-----
> > From:
[email protected] [mailto:[EMAIL PROTECTED] On Behalf Of
Graham
> > Sent: Monday, March 13, 2006 9:33 PM
> > To:
[email protected]
> > Subject: Re: [amibroker] Backtester
not following some entry signals
> >
> > sorry forgot the
colour in the lines
> >
> > PlotShapes( Buy *
shapeUpArrow, colorGreen, 0, Low, 0 );
> > PlotShapes( Cover *
shapeUpTriangle, colorGreen, 0, Low, -15 );
> >
> >
PlotShapes( Sell * shapeDownArrow, colorRed, 0, H, 0 );
> >
PlotShapes( Short * shapeDownTriangle, colorRed, 0, H, -15 );
>
>
> > --
> > Cheers
> > Graham
> >
AB-Write >< Professional AFL Writing Service
> > Yes, I write
AFL code to your requirements
> > http://e-wire.net.au/~eb_kavan/ab_write.htm
>
>
> >
> > On 3/14/06, Graham
<[EMAIL PROTECTED]> wrote:
> > >
> >
>
> > > without any mroe details and based on the confusing
plotshapes It is confusing to me anyway, so i changed to simple
straightforward plot statements, please see if these make a
difference
> > >
> > >
> > > PlotShapes(
Buy * shapeUpArrow, 0 , Low, 0 );
> > >
> > >
PlotShapes( Cover * shapeUpTriangle, 0, Low , -15 );
> >
>
> > > PlotShapes( Sell * shapeDownArrow, colorRed , 0, H, 0
);
> > >
> > > PlotShapes( Short *
shapeDownTriangle, colorRed, 0, H, -15 );
> > > Did some of your
trades actually exit before the next entry signal? if not then there would
be no next trade which would mean some signals were ignored
> >
> Plotting shapes for the signals does not mean the trades will actually
be taken in backtest, it just means there was a signal at that bar.
>
> >
> > >
> > >
> > >
> >
> --
> > > Cheers
> > > Graham
> > >
AB-Write >< Professional AFL Writing Service
> > > Yes, I
write AFL code to your requirements
> > > http://e-wire.net.au/~eb_kavan/ab_write.htm
>
> >
> > >
> > >
> > > On 3/14/06,
Ed Cottrell <[EMAIL PROTECTED] > wrote:
> > >
>
> > > >
> > > > Hi Tomasz,
> >
> >
> > > > Unfortunately, those settings aren't my
problem. I have plenty of cash ($100k), min shares is 1, min position size
is $2k, etc. None of the settings I know about seem to be
problematic.
> > > >
> > > > Thanks,
>
> > > Ed
> > > >
> > > >
> >
> > -----Original Message-----
> > > > From:
[email protected] [mailto:[EMAIL PROTECTED] On Behalf Of
Tomasz Janeczko
> > > > Sent: Monday, March 13, 2006 6:38
PM
> > > > To: [email protected]
> > >
> Subject: Re: [amibroker] Backtester not following some entry
signals
> > > >
> > > > Hello,
> >
> >
> > > > Depending on available cash (or rather LACK
of it) backtester will skip some
> > > > trades, also some
constraints like (min. shares, round lot size) may prevent
> > >
> from entering the trade.
> > > >
> > > >
http://www.amibroker.com/gifs/bt_regular.gif
>
> > >
> > > >
> > > > Best
regards,
> > > > Tomasz Janeczko
> > > >
amibroker.com
> > > > ----- Original Message -----
>
> > > From: "Ed Cottrell" < [EMAIL PROTECTED]>
> >
> > To: <[email protected]>
> > > > Sent:
Tuesday, March 14, 2006 12:58 AM
> > > > Subject: [amibroker]
Backtester not following some entry signals
> > > >
>
> > >
> > > > > Hello all,
> > > >
>
> > > > > I have a system which plots its
buy/sell/short/cover signals (using arrows
> > > > > and
triangles). Eyeballing an hourly chart for a certain period, I found
8
> > > > > trades on a given symbol. The backtester,
running on hourly bars over the
> > > > > same period,
found only 6. I'm not using any stops with delays before
> > >
> > reentry or anything like that. Both of the missing trades
are
> > > > > stop-and-reverse type trades, though the
backtester did pick up a couple of
> > > > > those, as
well.
> > > > >
> > > > > Any ideas what
could be causing this?
> > > > >
> > > >
> The plots use the following code, so I'm pretty sure the arrows are
okay:
> > > > > shape = Buy *
shapeUpArrow + Sell * shapeDownArrow;
> > > >
> PlotShapes( shape,
> > > >
> IIf( Buy ||
Cover, colorBrightGreen, colorRed ),
> > > >
> 0,
> >
> > > IIf(
Buy || Cover, Low, High ),
> > > >
> -15
> >
> > >
);
> > > > > shape = Short *
shapeDownTriangle + Cover * shapeUpTriangle;
> > > >
> PlotShapes( shape,
> > > >
> IIf( Buy ||
Cover, colorBrightGreen, colorRed ),
> > > >
> 0,
> >
> > > IIf(
Buy || Cover, Low, High ),
> > > >
> IIf(Buy
&& Cover || Sell && Short, -40, -15)
> > > >
> );
> >
> > >
> > > > >
> > > > >
Thanks!
> > > > >
> > > > > -Ed
>
> > > >
> > > > >
> > > >
>
> > > > >
> > > > >
> >
> > > Please note that this group is for discussion between users
only.
> > > > >
> > > > > To get support
from AmiBroker please send an e-mail directly to
> > > > >
SUPPORT {at} amibroker.com
> > > > >
> > >
> > For other support material please check also:
> > >
> > http://www.amibroker.com/support.html
>
> > > >
> > > > >
> > > > >
Yahoo! Groups Links
> > > > >
> > > >
>
> > > > >
> > > > >
> >
> > >
> > > > >
> > > >
>
> > > >
> > > >
> > > >
Please note that this group is for discussion between users only.
>
> > >
> > > > To get support from AmiBroker please
send an e-mail directly to
> > > > SUPPORT {at}
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> > > >
> > > > For other
support material please check also:
> > > > http://www.amibroker.com/support.html
>
> > >
> > > >
> > > >
> >
> >
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>
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