Hi Graham,
Thank you for your very prompt reply.
I am sorry if I'm
mistaken, but my understanding was that the Detailed
Trade Log of
below
Entry signals(score):CXG=Buy(1.05648),
NYNY=Buy(1.0541),
> TWMC=Buy(1.02888), SWFT=Buy(1.02825),
FLOW=Buy(1.02709),
BCR=Buy(1.00364),
contain all the raw
trade signals that "Scan" would see, and Backtest
picks from the
pool?
What's happening to me is that the Backtester doesn't see the
same
Entry signals as Scan.
Regards,
intermilan04
--- In
[EMAIL PROTECTED]ps.com,
Graham <kavemanperth@...> wrote:
>
> Scan gives all raw
trade signals
> Portfolio backtest gives actual trades allowable given the
limits of
> Equity/Trade Size, MaxOpenPositions and any other
>
settings/options/code specified that will affect the trades taken.
>
>
> --
> 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 25/07/06, intermilan04 <intermilan04@...>
wrote:
> > Hi all,
> >
> > I think I have a case
where the backtester does not "see" all signals
> > which appear when I
scan for signals. Here are the details:
> >
> > OS: Windows
XP
> > Amibroker: 4.80.2
> >
> > I have a long system
with the following setup:
> >
> >
SetOption("InitialEquity", 30000);
> >
SetOption("AllowSameBarExit", True);
> >
SetOption("ActivateStopsImmediately", True);
> >
SetOption("CommissionMode", 2);
> >
SetOption("CommissionAmount", 7);
> > SetTradeDelays(1,
1, 1, 1);
> > PosQty = 4;
> >
SetOption("MaxOpenPositions", PosQty);
> > PositionSize =
-100/PosQty;
> >
> > Here is the result of running "Explore"
on 2006/7/21 with the
> > following setup, sorted by
PositionScore:
> >
> > Filter = Buy;
> >
AddColumn(PositionScore, "PositionScore", 1.4);
> >
>
> Ticker Date/Time PositionScore
> > BTU 2006/7/21 1.0794
>
> WFT 2006/7/21 1.0648
> > CXG 2006/7/21 1.0565
> > CNX
2006/7/21 1.0557
> > EXPD 2006/7/21 1.0554
> > VSH 2006/7/21
1.0543
> > NYNY 2006/7/21 1.0541
> > TSAI 2006/7/21
1.0465
> > CMG 2006/7/21 1.0356
> > TWMC 2006/7/21
1.0289
> > SWFT 2006/7/21 1.0282
> > ECOL 2006/7/21
1.0277
> > FLOW 2006/7/21 1.0271
> > TEN 2006/7/21
1.0171
> > PQ 2006/7/21 1.0168
> > SHFL 2006/7/21
1.0055
> > BCR 2006/7/21 1.0036
> > CNW 2006/7/21
1.0006
> >
> > I then backtested the system between 2006/1/1
to 2006/7/24. Here is
> > the result from 7/24:
> >
2006/07/24,
> > Entry signals(score):CXG=Buy(1.05648),
NYNY=Buy(1.0541),
> > TWMC=Buy(1.02888),
SWFT=Buy(1.02825),
FLOW=Buy(1.02709),
BCR=Buy(1.00364),
> > Exit
signals:CNW=Sell, ECOL=Sell,
> > Enter Long, CXG, Price: 24.6,
Shares: 300, Commission: 7, Rank:
> > 1.05648, Equity 37812.5, Margin
Loan: 0, Fx rate: 1
> > Enter Long, NYNY, Price: 5.4, Shares: 1700,
Commission: 7, Rank:
> > 1.0541, Equity 37798.5, Margin Loan: 0, Fx
rate: 1
> > Enter Long, TWMC, Price: 5.54, Shares: 1700, Commission: 7,
Rank:
> > 1.02888, Equity 37784.5, Margin Loan: 0, Fx rate: 1
>
> Exit Long, ECOL, Price: 21.33, (Avg. exit pr. 21.33), Shares: 400,
>
> Commission: 7, (Total comm.: 14), Profit: -230 (-2.63 %), Entry
>
> rank:1.05599, Equity: 37784.5, Fx rate: 1
> > 3 Open Positions: ,
CXG (+300), , NYNY (+1700), , TWMC (+1700),
> > Equity: 38836.5, Cash:
11827.5
> >
> > If you see the Entry signals(score) line, the
Backtester clearly
> > missed BTU and WFT, which scored the highest
PositionScore. The
> > Backtester missed other signals too. I am aware
that Backtester does
> > not always take position in what are being
signaled, but it seems to
> > me that the Backtester doesn't even see
the same thing as "Scan" or
> > "Explore."
> >
> > I
am willing to disclose more codes if necessary to troubleshoot.
> > Any
help regarding this matter is greatly appreciated.
> >
> >
Regards,
> >
> > intermilan04
> >
>
>
> >
> >
> >
> >
> >
>
> Please note that this group is for discussion between users only.
>
>
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> > SUPPORT {at} amibroker.com
> >
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>
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> >
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