I'm trying to figure out why the portfolio backtest is not taking a
particular trade.
I have two similar limit entry scripts. One takes the trade and one
doesn't.
In the one that doesn't take the trade, I am setting BuyPrice to zero
for signals that don't end up as trades. I'm testing a method of
simulating placing orders for only the top eight signals, as opposed
to AB's default of top eight trades. I use the following code for this.
// If trade is not going to be filled, set buy price to zero
BuyPrice = IIf(Buy AND BuyPrice > L, 0, BuyPrice);
I check for the zero price value in the CBT to determine if a signal
is void or not. Obviously there's some side effects to this technique
though.
I have the following settings.
SetBacktestMode (backtestRegularRawMulti);
SetOption( "InitialEquity", 10000);
SetOption( "AccountMargin", 10);
SetOption( "MaxOpenPositions", 100);
SetOption ("PriceBoundChecking", 0);
I have output some signal information from the CBT for two codes. The
format below is:
ENTRY/EXIT, Bar number, Sym, Price, Type/Reason, PositionSize, DateTime
ENTRY 2: NCM: P(4.24) T(1) PS(-50) (6/01/2000)
ENTRY 3: NCM: P(0) T(1) PS(-50) (7/01/2000)
EXIT 6: NCM: P(4.24396) R(1) PS({EMPTY}) (12/01/2000)
ENTRY 15: TCL: P(2.16) T(1) PS(-50) (25/01/2000)
ENTRY 16: TCL: P(0) T(1) PS(-50) (27/01/2000)
EXIT 18: TCL: P(2.24) R(1) PS({EMPTY}) (31/01/2000)
Although NCM is a signal, seemingly like TCL, the trade is not taken
and I can't work out why.
I can't see it being a position choice thing as there's plenty of
equity and position slots available.
Can anyone more intimate with the backtesting process shed some light
on where I should be looking. I.e. What are the reasons that phase 2
won't take a trade given that a buy signal is there?
Any guidance much appreciated.
Julian.
