|
Hi
Tomasz,
I
understand I made a mistake; I do think the documentation could be a tad
clearer. I did, in fact, read the documentation, and misunderstood it on my
first run through. It was just a suggestion.
-Ed
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}
amibroker.com
> > > >
> > > > For other
support material please check also:
> > > > http://www.amibroker.com/support.html
>
> > >
> > > >
> > > >
> >
> >
> > > >
> > > >
> > >
> SPONSORED LINKS
> > > > Investment management software
Real estate investment software Investment property software
> >
> > Software support Real estate investment analysis software
Investment software
> > > >
> > > >
________________________________
> > YAHOO! GROUPS LINKS
>
> > >
> > > >
> > > > Visit
your group "amibroker" on the web.
> > > >
> >
> > To unsubscribe from this group, send an email to:
>
> > > [EMAIL PROTECTED]
> >
> >
> > > > Your use of Yahoo! Groups is
subject to the Yahoo! Terms of Service.
> > > >
>
> > > ________________________________
> >
> >
>
> > >
> > >
> >
> >
>
> 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
>
>
> >
> >
> >
> >
>
>
> > SPONSORED LINKS
> > Investment management
software Real estate investment software Investment property
software
> > Software support Real estate investment analysis
software Investment software
> >
> >
________________________________
YAHOO! GROUPS LINKS
>
>
> >
> > Visit your group "amibroker" on the
web.
> >
> > To unsubscribe from this group, send
an email to:
> >
[EMAIL PROTECTED]
> >
> > Your
use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
>
> To unsubscribe from this group, send an email to:
>
> [EMAIL PROTECTED]
> >
>
> Your use of Yahoo! Groups is subject to the Yahoo! Terms of
Service.
> > Your use of Yahoo! Groups is subject to the
Yahoo! Terms of Service.
> >
> >
________________________________
>
>
>
>
>
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
>
>
>
>
>
>
>
SPONSORED LINKS
> Investment management software Real estate
investment software Investment property software
> Software support
Real estate investment analysis software Investment
software
>
> ________________________________
YAHOO! GROUPS
LINKS
>
>
> Visit your group "amibroker" on the
web.
>
> To unsubscribe from this group, send an email
to:
>
[EMAIL PROTECTED]
>
> Your use of
Yahoo! Groups is subject to the Yahoo! Terms of Service.
> To
unsubscribe from this group, send an email to:
>
[EMAIL PROTECTED]
>
> Your use of
Yahoo! Groups is subject to the Yahoo! Terms of Service.
>
Your use of Yahoo! Groups is subject to the Yahoo! Terms of
Service.
>
>
________________________________
>
>
--
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
SPONSORED LINKS
YAHOO! GROUPS LINKS
|
