Tomasz, Thanks for the reply, but I *did* read the manual and *did* set the buyprice reserved variables, etc. (all to OPEN), and yet the backtester is still using CLOSE for position value calculations.
Hence I posted the question. So either this is a bug or there is some other setting which is overriding both my AA settings and reserved variable settings. I can't seem to find any such setting error, so at this point I am thinking it's a bug. Is it? --- In [email protected], "Tomasz Janeczko" <gro...@...> wrote: > > Hello, > > When everything fails consult..... the manual: > > http://www.amibroker.com/guide/h_backtest.html > > Quote > > "Controlling trade price > > AmiBroker now provides 4 new reserved variables for specifying the price at which buy, sell, short and cover orders are executed. > These arrays have the following names: buyprice, sellprice, shortprice and coverprice. > > The main application of these variables is controlling trade price: > > BuyPrice = IIF( dayofweek() == 1, HIGH, CLOSE ); > // on monday buy at high, otherwise buy on close > > So you can write the following to simulate real stop-orders: > > BuyStop = ... the formula for buy stop level; > SellStop = ... the formula for sell stop level; > > // if anytime during the day prices rise above buystop level (high>buystop) > // the buy order takes place (at buystop or low whichever is higher) > Buy = Cross( High, BuyStop ); > > // if anytime during the day prices fall below sellprice level ( low < sellstop ) > // the sell order takes place (at sellstop or high whichever is lower) > Sell = Cross( SellPrice, SellStop); > > BuyPrice = max( BuyStop, Low ); // make sure buy price not less than Low > SellPrice = min( SellStop, High ); // make sure sell price not greater than High > > Please note that AmiBroker presets buyprice, sellprice, shortprice and coverprice array variables with the values defined in system > test settings window (shown below), so you can but don't need to define them in your formula. If you don't define them AmiBroker > works as in the old versions. > > During back-testing AmiBroker will check if the values you assigned to buyprice, sellprice, shortprice, coverprice fit into high-low > range of given bar. If not, AmiBroker will adjust it to high price (if price array value is higher than high) or to the low price > (if price array value is lower than low)" > > Best regards, > Tomasz Janeczko > amibroker.com > ----- Original Message ----- > From: "ozzyapeman" <zoopf...@...> > To: <[email protected]> > Sent: Wednesday, January 21, 2009 10:46 PM > Subject: [amibroker] Re: How to force Backtester to Calculate Position Size on Open Price? > > > > and here are all my other options set in the AFL. > > > > I can't see how any of them would force the backtester to use Close > > prices, but maybe one option does? > > > > > > SetBarsRequired( 10000, 0 ); > > SetOption( "AccountMargin", 100 ); > > SetOption( "ActivateStopsImmediately", True ); > > SetOption( "AllowPositionShrinking", False ); > > SetOption( "AllowSameBarExit", True ); > > SetOption( "CommissionAmount", 3.00 ); > > SetOption( "CommissionMode", 2 ); > > SetOption( "FuturesMode", 1 ); > > SetOption( "InitialEquity", 100000 ); > > SetOption( "InterestRate", 0 ); > > SetOption( "MaxOpenPositions", 1 ); > > SetOption( "MinPosValue", 0 ); > > SetOption( "MinShares", 1 ); > > SetOption( "PriceBoundChecking", True ); > > SetOption( "ReverseSignalForcesExit", False ); > > SetOption( "UsePrevBarEquityForPosSizing", False ); > > SetTradeDelays( 0, 0, 0, 0 ); > > SetPositionSize( 1, spsShares ); > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > --- In [email protected], "ozzyapeman" <zoopfree@> wrote: > >> > >> Buyprices set in AFL formula are all Open: > >> > >> BuyPrice = Open; > >> ShortPrice = Open; > >> SellPrice = Open; > >> CoverPrice = Open; > >> > >> very wierd... > >> > >> > >> --- In [email protected], "Anthony Faragasso" <ajf1111@> wrote: > >> > > >> > Is there anywhere in your code formula that you may be specifying a > >> different buyprice....because I believe the formula overrides the > >> settings in the preference window.. > >> > > >> > Anthony > >> > > >> > > >> > ----- Original Message ----- > >> > From: ozzyapeman > >> > To: [email protected] > >> > Sent: Wednesday, January 21, 2009 3:41 PM > >> > Subject: [amibroker] Re: How to force Backtester to Calculate > >> Position Size on Open Price? > >> > > >> > > >> > I've always had the trade settings set to buyprice Open. > >> > > >> > Unfortunately, the backtester insists on using the Close, and I > > can't > >> > figure out why that is. > >> > > >> > --- In [email protected], "gonzagags" <gonzagags@> wrote: > >> > > > >> > > Try in settings- trades, set in long trades buyprice in open.. > >> > > > >> > > > >> > > --- In [email protected], "ozzyapeman" <zoopfree@> wrote: > >> > > > > >> > > > Hello, even though I have set Buyprice = Open; I noticed > > that the > >> > > > backtester report is displaying position sizes based on the > >> Close of > >> > > > the bar. On some trades this makes a huge difference. > >> > > > > >> > > > I am backtesting Forex. And I imagine that when trading on the > >> Open, > >> > > a > >> > > > broker like IB will use the dynamic price of the Open to > >> calculate > >> > > the > >> > > > exchange rate and position size, since the Close price is > > not yet > >> > > > known at the time of the trade. > >> > > > > >> > > > So how do I force the backtester to mimic the above, and > > calculate > >> > > > position sizes based on Opens? Or is this not even an option? > >> > > > > >> > > > I looked up Setoption in the reference guide, and don't seem > >> to see > >> > > an > >> > > > appropriate setting to switch. > >> > > > > >> > > > Any input appreciated. > >> > > > > >> > > > >> > > >> > > >> > > >> > > >> > > >> > > >> > > >> > > ------------------------------------------------------------------------------ > >> > > >> > > >> > > >> > No virus found in this incoming message. > >> > Checked by AVG - http://www.avg.com > >> > Version: 8.0.176 / Virus Database: 270.10.10/1906 - Release Date: > >> 1/21/2009 7:07 AM > >> > > >> > > > > > > > > ------------------------------------ > > > > **** IMPORTANT **** > > This group is for the discussion between users only. > > This is *NOT* technical support channel. > > > > ********************* > > TO GET TECHNICAL SUPPORT from AmiBroker please send an e-mail directly to > > SUPPORT {at} amibroker.com > > ********************* > > > > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: > > http://www.amibroker.com/devlog/ > > > > For other support material please check also: > > http://www.amibroker.com/support.html > > > > ********************************* > > Yahoo! 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