Is it possible to get a analysis of the different the different reasons why it some of the trades were skipped in any reports that are available. I would like to investiate why it missed the trades. any direction in this regard would be appreciated.
Thanks Suresh --- In [email protected], "Tomasz Janeczko" <[EMAIL PROTECTED]> wrote: > > Hello, > > Some trades may be skipped due to settings/ insufficient funds, see: > > http://www.amibroker.com/gifs/bt_regular.gif > > > > Best regards, > Tomasz Janeczko > amibroker.com > ----- Original Message ----- > From: murthysuresh > To: [email protected] > Sent: Friday, March 17, 2006 12:24 AM > Subject: [amibroker] is something wrong with this or is it a bug > > > I have a back test that does a good job. however when i rightlick on results and select show arrows fo ractual trdes, i get arrows for trades that were not traded at all. > > i have attached a screen shot > > http://xs72.xs.to/pics/06115/issueamibroker.jpg > > > > Pl let me know what did i do wrong. > > > > my script is > > > > > > SetCustomBacktestProc(""); > > if(Status("action")==actionPortfolio){ > > bo=GetBacktesterObject(); > > bo.backtest(); > > st=bo.GetPerformanceStats(0); > > // Expectancy calculation (the easy way) > > // %Win * AvgProfit - %Los * AvgLos > > // note that because AvgLos is already negative > > // in AmiBroker so we are adding values instead of subtracting them > > // we could also use simpler formula NetProfit/NumberOfTrades > > // but for the purpose of illustration we are using more complex one :-) > > expectancy = st.GetValue("WinnersAvgProfit")*st.GetValue ("WinnersPercent")/100 + > > st.GetValue("LosersAvgLoss")*st.GetValue("LosersPercent")/100; > > // Here we add custom metric to backtest report > > bo.AddCustomMetric( "Expectancy ($)", expectancy ); > > } > > //Buy 90 day breakouts > > // Suersh > > NumColumns = 5; > > Period = 14; > > // Determines trend direction using DMI indicators > > PDIFilter=IIf(PDI(14)>MDI(14),1,0); > > // make sure that the slope is going up and greater than 20 > > > > // New 3 month high has occurred in the last 5 days? > > NewHighs = IIf(HHV(H,5) >= HHV(H,60), 1,0); > > //NewLows = LLV(L,5) <= LLV(L,40); > > // Are moving averages lined up correctly? Close > 50 and 200 ma > > BullishMAs = IIf(Close >= MA(C,200) AND Close >= MA(C,50), 1,0); > > //BearishMAs = IIf(MA(C,10) <= EMA(C,20) AND EMA(C,20) <= EMA (C,30), 1, 0); > > /* > > Column0 = ADX(period); > > Column0Name = "ADX"; > > Column1 = IIf(PDIFilter AND NewHighs AND BullishMAs, 1, 0); > > Column1Name = "Buy Signal"; > > Column2 = IIf(Column1 == 1, H + .125, 0); > > Column2Name = "Buy Stop"; > > Column3 = IIf(MDIFilter AND NewLows AND BearishMAs, 1, 0); > > Column3Name = "Sell Signal"; > > Column4 = IIf(Column3 == 1, L - .125, 0); > > Column4Name = "Sell Stop"; > > */ > > // Filter based on ADX > 20 (trending) and if buy or sell has triggered > > ADXval=IIf(ADX(14)>20,True,False); > > //AND PDIfilter AND bullishMas AND (Close<5) AND (MA(V,30) >200000) AND NewHighs) ;// (Column1 OR Column3); > > _TRACE("outsidee buyubg"); > > //buynotdone=IIf(Buy=0,1,0); > > //if (buynotdone AND NewHighs AND PDIFilter AND BullishMAs ){ > > _TRACE("insude buyubg"); > > //Buy= NewHighs AND PDIFilter AND BullishMAs ; > > Buy=HHV(H,5) >= HHV(H,60) AND Close >= MA(C,200) AND Close >= MA (C,50) AND ADX(14)>20 AND MA(V,30)>200000 ; > > Sell = Close<Ref(Low,-1) AND Close<Ref(EMA(Close,9),-1) AND Buy; > > SetTradeDelays( 10,0, 10, 10 ) ; > > > > //} > > //Buy = Low <EMA(Close,9) * 105/100 AND Filter; // ADX(period) >=20 AND Column1; > > //IIf(Buy=1,Sell = Close<Ref(Low,-1),False); > > Buy = ExRem( Buy, Sell ); > > Sell = ExRem( Sell, Buy ); > > > > > AddColumn(Buy,"Buy"); > > //AddColumn(Sell,"sell"); > > AddColumn(BuyPrice,"BuyPrice"); > > AddColumn(SellPrice,"SellPrice"); > > AddColumn(HHV(H,5) ,"HHV(H,5) "); > > AddColumn(HHV(H,60),"HHVBars "); > > > > > > SetCustomBacktestProc(""); > > if(Status("action")==actionPortfolio){ > > bo=GetBacktesterObject(); > > bo.backtest(); > > st=bo.GetPerformanceStats(0); > > // Expectancy calculation (the easy way) > > // %Win * AvgProfit - %Los * AvgLos > > // note that because AvgLos is already negative > > // in AmiBroker so we are adding values instead of subtracting them > > // we could also use simpler formula NetProfit/NumberOfTrades > > // but for the purpose of illustration we are using more complex one :-) > > expectancy = st.GetValue("WinnersAvgProfit")*st.GetValue ("WinnersPercent")/100 + > > st.GetValue("LosersAvgLoss")*st.GetValue("LosersPercent")/100; > > // Here we add custom metric to backtest report > > bo.AddCustomMetric( "Expectancy ($)", expectancy ); > > } > > //Buy 90 day breakouts > > // Suersh > > NumColumns = 5; > > Period = 14; > > // Determines trend direction using DMI indicators > > PDIFilter=IIf(PDI(14)>MDI(14),1,0); > > // make sure that the slope is going up and greater than 20 > > > > // New 3 month high has occurred in the last 5 days? > > NewHighs = IIf(HHV(H,5) >= HHV(H,60), 1,0); > > //NewLows = LLV(L,5) <= LLV(L,40); > > // Are moving averages lined up correctly? Close > 50 and 200 ma > > BullishMAs = IIf(Close >= MA(C,200) AND Close >= MA(C,50), 1,0); > > //BearishMAs = IIf(MA(C,10) <= EMA(C,20) AND EMA(C,20) <= EMA (C,30), 1, 0); > > /* > > Column0 = ADX(period); > > Column0Name = "ADX"; > > Column1 = IIf(PDIFilter AND NewHighs AND BullishMAs, 1, 0); > > Column1Name = "Buy Signal"; > > Column2 = IIf(Column1 == 1, H + .125, 0); > > Column2Name = "Buy Stop"; > > Column3 = IIf(MDIFilter AND NewLows AND BearishMAs, 1, 0); > > Column3Name = "Sell Signal"; > > Column4 = IIf(Column3 == 1, L - .125, 0); > > Column4Name = "Sell Stop"; > > */ > > // Filter based on ADX > 20 (trending) and if buy or sell has triggered > > ADXval=IIf(ADX(14)>20,True,False); > > //AND PDIfilter AND bullishMas AND (Close<5) AND (MA(V,30) >200000) AND NewHighs) ;// (Column1 OR Column3); > > _TRACE("outsidee buyubg"); > > //buynotdone=IIf(Buy=0,1,0); > > //if (buynotdone AND NewHighs AND PDIFilter AND BullishMAs ){ > > _TRACE("insude buyubg"); > > //Buy= NewHighs AND PDIFilter AND BullishMAs ; > > Buy=HHV(H,5) >= HHV(H,60) AND Close >= MA(C,200) AND Close >= MA (C,50) AND ADX(14)>20 AND MA(V,30)>200000 ; > > Sell = Close<Ref(Low,-1) AND Close<Ref(EMA(Close,9),-1) AND Buy; > > SetTradeDelays( 10,0, 10, 10 ) ; > > > > //} > > //Buy = Low <EMA(Close,9) * 105/100 AND Filter; // ADX(period) >=20 AND Column1; > > //IIf(Buy=1,Sell = Close<Ref(Low,-1),False); > > Buy = ExRem( Buy, Sell ); > > Sell = ExRem( Sell, Buy ); > > > > > AddColumn(Buy,"Buy"); > > //AddColumn(Sell,"sell"); > > AddColumn(BuyPrice,"BuyPrice"); > > AddColumn(SellPrice,"SellPrice"); > > AddColumn(HHV(H,5) ,"HHV(H,5) "); > > AddColumn(HHV(H,60),"HHVBars "); > > > > 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! 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