Hi intermilan04, Did you ever find out how to keep your scan and your backtest synchronized?
If you did, I would be grateful if you could summarize: 1) What you need to do in the scan. 2) What you need to do in the backtest. Regards, Alan --- In [email protected], "intermilan04" <[EMAIL PROTECTED]> wrote: > > 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 <kavemanperth@> 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 <intermilan04@> 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! 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