Thanks, Tomasz. Another question for you (or anyone)- what about "setbarsrequired"? I find that even with a simple MA crossover test system that makes use of a barcount loop, I need to do this in order to ensure that my plots do not vanish/re-appear as I scroll across the screen:
SetBarsRequired(10000, 10000); // Ensures that the charts include all bars AND NOT just those on screen. Of course, I get the future warning when I add the above to my backtester settings, but I am sure my trading system itself does NOT depend on future quotes. Can one add the above statement without it necessarily creating a future leak as far backtesting results are concerned? --- In amibroker@yahoogroups.com, "Tomasz Janeczko" <[EMAIL PROTECTED]> wrote: > > Yes, because LastValue DOES look into the future and it actually looks ALL bars into the future. > The user's guide of course says about that http://www.amibroker.com/f?lastvalue > "Caveat: since this function fills an entire data array with the last value of another array, it allows a formula to look into the future. " > > LastValue must never be used in trading system. > > Best regards, > Tomasz Janeczko > amibroker.com > ----- Original Message ----- > From: Grover Yowell > To: amibroker@yahoogroups.com > Sent: Thursday, September 25, 2008 5:30 AM > Subject: RE: [amibroker] Does my code really look into the future?!? > > > Ozzy, > > > > I have found that Code Check will report looking into the future if you have a "lastvalue()" in your code, and I see that you do. You can take the simplest code such as buying on the MACD as in TJ's system example and put in a last value on something or other and bang!, the system reports a future leak. Don't know why, but it does. > > > > You can also get a reported future leak with a trace statement, something as innocent as _trace("Hello world"); > > > > Hope this helps. > > > > Grover Yowell > > > > From: amibroker@yahoogroups.com [mailto:[EMAIL PROTECTED] On Behalf Of ozzyapeman > Sent: Wednesday, September 24, 2008 8:08 PM > To: amibroker@yahoogroups.com > Subject: [amibroker] Does my code really look into the future?!? > > > > I clicked on "Code Check & Profile" in the AFL editor and it gives me the warning that my code references future quotes, "40 past and ALL future quotes are needed to calculate the formula correctly." Hoping anyone can chime in here with reasons why that might be happening. > > Is there any other way to test if I have a "Future Leak" other than relying on the Code Check tool? > > I have gone through my FOREX trading system with a fine tooth comb and can't find any place where it references the future. It makes use of several moving averages that only reference the current Close, and back through the lasts 40 Closes. I test my current Close against the MAs, as well as against static profit and stop targets. > > I am wondering if my backtester settings are somehow setting off the Code Check warning. Would any of the following backtester settings set off a false warning of this sort? What else might trigger the 'Future Leak' alarm? I don't use any fancy functions like ZIG, just plan old MAs... > > > SetOption("AccountMargin", 100); // Account margin, 100 = no margin > SetOption("ActivateStopsImmediately", False); // Intraday stops ? > SetOption("AllowPositionShrinking", False); // Take partial trades if equity available ? > SetOption("AllowSameBarExit", True); // Allow same bar exit for profit stops > SetOption("CommissionAmount", 3.00); // Commission amount > SetOption("CommissionMode", 3); // 3 = $ per share/contract > SetOption("FuturesMode", 1); // = use MarginDeposit and PointValue in calculations > SetOption("InitialEquity", 100000); // Initial equity $ > SetOption("InterestRate",0); // Set interest rate earned for free cash, zero to evaluate system > SetOption("MaxOpenPositions", maxPairsTraded * maxContractsPerPair); > SetOption("MinPosValue", 0); // Min position Value to make trade worthwhile, 0 = no limit > SetOption("MinShares", 1); // Min number shares > SetOption("PriceBoundChecking", False ); // Price to stay in bar range ? > SetOption("ReverseSignalForcesExit", False); > SetOption("UsePrevBarEquityForPosSizing", True ); // Use last known bar for position sizing ? > SetTradeDelays(tradeDelay, tradeDelay, tradeDelay, tradeDelay); > SetPositionSize(1, spsShares); > quoteCurrency = StrRight(Name(), 3); // eg. EURJPY gives JPY. > > if (maxContractsPerPair > 1) > SetBacktestMode(backtestRegularRawMulti); > > tradedelay = 0; > > > // Make sure backtester only starts computing at the start of our testing date range, not the start of the symbol database > > if(Status("action")>2) start = Max( tradeDelay, LastValue( ValueWhen( Status("firstbarinrange"), BarIndex() ) ) ); > else start = tradedelay; > > // Barcount Loop > for (start = 1; i < BarCount; i++) > { > > // Trade system using MAs goes here. >
