Hello, You should check the archives. It was discussed to death already.
Scan shows RAW signals. RAW signals are all signals generated without any processing. Backtester uses TRADES. TRADE is BUY-SELL or SHORT-COVER pair. If you have sequence of BUY1-BUY2-BUY3-SELL then it is considered as single BUY1-SELL pair (a TRADE) - assuming that you don't use pyramiding. If you use pyramiding, subsequent (redundant) buy signals may be used to pyramid (scale in) your position. See also this picture http://www.amibroker.com/gifs/bt_regular.gif it shows clearly how signals build trade candidates (buy-sell) and how they are picked according to user-defined position score. Best regards, Tomasz Janeczko amibroker.com ----- Original Message ----- From: "intermilan04" <[EMAIL PROTECTED]> To: <[email protected]> Sent: Wednesday, July 26, 2006 2:14 AM Subject: [amibroker] Re: Scan vs Backtest > Graham, > > I tried backtesting for 7/24 alone (i.e. the Date Range is from 7/24 > and to 7/24) the Backtest still did not enter on BTU or WFT, which > were the top 2 PositionScore according to Scan. > > I will attempt to explain what's happening with the following scenarios: > > Scenario 1: > - Scan finds 10 signals for a particular day. > - Backtester recognizes the same 10 signals as Scan, but only take 4 > positions due to constraints. > > This scenario is OK. > > Scenario 2: > - Scan finds 10 signals for a particular day. > - Backtester only recognizes 7 signals out of 10, and take 4 positions > from the 7 signals. > > This, is what's happening to me and I'm trying to figure out why. > > Regards, > > intermilan04 > > --- In [email protected], Graham <[EMAIL PROTECTED]> wrote: >> >> A trade signal occurs on the day the conditions are correct >> A trade entry in your backtest occurs when you have the trade >> conditions occur in accordance with your settings for that backtest, >> just like you would have in your trading. A buy in a backtest is not a >> signal, but the trade entry. Backtests are meant to simulate your real >> trading method. >> >> If you have a 1 bar delay setting then your signal occurs on one day >> and entry is on the enxt day. >> If you have maxopenpositions set to 10 and you already have 10 open >> trades in the backtest, then no signal wil be taken in thebacktest, >> just like in real trading. >> If you ahve $100k equity, and $97k is alrady in open trades and the >> next signal requires a trade size of $10k then you will not trade it, >> the signal is ignored. >> >> >> If you want to maych backtest with your scan then you must have the >> settings then same >> >> >> >> -- >> 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 26/07/06, intermilan04 <[EMAIL PROTECTED]> wrote: >> > Hi Graham, >> > >> > Thank you very much for your reply. >> > I took your advice and changed the filter to >> > >> > filter = Ref (Buy, -1); >> > PositionScore = Ref(SomeCondition, -1); >> > >> > to be able to explore what the Backtester takes, in hindsight. >> > >> > I still feel it's kinda strange that, Scanning for signals on 7/21 >> > does not match with Exploring for signals of 7/21 on 7/24... >> > >> > Might anyone know what could be causing the problem? Is there a way >> > to match the above? In the meantime, I'm trying to figure out myself >> > by backtesting/exploring/scanning but haven't figured yet. >> > >> > Regards, >> > >> > intermilan04 >> > >> > --- In [email protected], Graham <kavemanperth@> wrote: >> > > >> > > The signal is what explore or scan will see >> > > Backtest will take the trade as per your settings (ie 1 bar delay). >> > > If you want expore to include the delay then you need to include > this >> > > delay in your filter eg >> > > filter = ref(buy,-1); >> > > >> > > -- >> > > 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: >> > > > Yes I do. I provided my "Explore" results of 7/21, and "Backtest" >> > > > result of 7/24, which is the next trading day. >> > > > >> > > > My plan is to buy stocks that had been signaled a day before, so >> > > > Backtester "seeing" the same thing as "Explore" is critical. >> > > > As I had said, I understand that the Backtester doesn't > necessarily >> > > > take all siginaled positions due to constraints, but at least > it needs >> > > > to "recognize" the same things as "Explore." >> > > > >> > > > Regards, >> > > > >> > > > intermilan04 >> > > > >> > > > --- In [email protected], Graham <kavemanperth@> wrote: >> > > > > >> > > > > do you have delays in the settings? looks like you have 1 > bar delays >> > > > setting >> > > > > >> > > > > -- >> > > > > 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 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], 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. >> > > > > > > > >> > > > > > > > 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 >> > > > > > >> > > > > > >> > > > > > 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 >> > > > >> > > > >> > > > 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 >> > >> > >> > 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 > > > Yahoo! Groups Links > > > > > > > > ------------------------ Yahoo! Groups Sponsor --------------------~--> GFT Forex Trading Accounts As low as $250 with up to 400:1 Leverage. Free Demo. http://us.click.yahoo.com/lpv1TA/jlQNAA/U1CZAA/GHeqlB/TM --------------------------------------------------------------------~-> 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! 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