Ozzy, >From AA Settings window, change to Report tab and then select "Detailed log" for result list. It will show you full details of every entry/exit including size.
Mike --- In [email protected], "ozzyapeman" <zoopf...@...> wrote: > > I see. > > I might suggest that when doing the next update that will allow us to > turn on/off select columns in the backtest report, that a column be > provided for "Entry Position Size" or something like that. > > I for one would find it useful to know how much cash was used to enter > a position originally, at a glance, without having to hand calculate > it. Don't know if anyone else shares that desire. > > Thanks again for answering questions like this. It's rare that the > designer of a major software product takes the time to interact with > customers in real time. > > Much appreciated! > > > --- In [email protected], "Tomasz Janeczko" <groups@> wrote: > > > > You need to remember that in your formula you are using FUTURES mode. > > In futures mode you pay Margin Deposit, it can be independent > > from actual price. Therefore it may or may not relate to position value. > > > > Position Value is component of Equity. Equity by definition is > > value of all open positions plus cash. Value of Position is the money > > that you will get if you exited that particular position. That includes > > money you paid (or margin deposit for futures) plus/minus profit/loss > > minus exit commission (if any). > > > > Best regards, > > Tomasz Janeczko > > amibroker.com > > ----- Original Message ----- > > From: "ozzyapeman" <zoopfree@> > > To: <[email protected]> > > Sent: Thursday, January 22, 2009 1:34 AM > > Subject: [amibroker] Re: How to force Backtester to Calculate > Position Size on Open Price? > > > > > > > Tomasz, thank you for the clarification. I think I understand. > > > > > > What you are saying is that, in the backtester report, the value of > > > "Position Value" is NOT Position Size (i.e. total money used to enter > > > the position) but rather the value of the position at the "End of the > > > Day" (or in the case of intraday - "End of the Bar"). > > > > > > Is the above correct? > > > > > > > > > > > > --- In [email protected], "Tomasz Janeczko" <groups@> wrote: > > >> > > >> No, your findings are incorrect. > > >> The fact that equity *chart* always displays closed equity does > not mean > > >> that close is used for position sizing calculations. It is NOT. > > >> Equity chart and pos sizing is independent because > > >> AmiBroker calculates equity several times inside bar (usually 3 > > > times, at open, > > >> after handling exit signals and at close). > > >> > > >> If "Use Previous Bar Equity for position sizing" option is set to > False > > >> the backtester will: > > >> a) update equity using OPEN price of current bar > > >> b) close any positions that have exit signal on open (evaluating > > > their value using OPEN price). > > >> c) enter new positions on equity calculated from open prices. > > >> > > >> If "Use Previous Bar Equity for position sizing" option is set to > True > > >> it will use previous bar close price instead for pos sizing. > > >> > > >> But Equity chart will always show closed equity ("at the end of the > > > day") by design (because it is usual > > >> accounting practice). > > >> > > >> Best regards, > > >> Tomasz Janeczko > > >> amibroker.com > > >> ----- Original Message ----- > > >> From: "ozzyapeman" <zoopfree@> > > >> To: <[email protected]> > > >> Sent: Thursday, January 22, 2009 12:36 AM > > >> Subject: [amibroker] Re: How to force Backtester to Calculate > > > Position Size on Open Price? > > >> > > >> > > >> >I should note that for Entry prices, the backtester is correctly > using > > >> > OPEN prices and for ApplyStop, it is correctly exiting at the right > > >> > price point between LOW and HIGH. > > >> > > > >> > It is only for the position values that the backtester is using > CLOSE > > >> > prices to calculate, even though CLOSE is nowhere in my AA > settings or > > >> > AFL reserved variables or SetOptions. > > >> > > > >> > > > >> > --- In [email protected], "ozzyapeman" <zoopfree@> wrote: > > >> >> > > >> >> 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" <groups@> > 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" <zoopfree@> > > >> >> > 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! Groups Links > > >> >> > > > > >> >> > > > > >> >> > > > > >> >> > > > >> >> > > >> > > > >> > > > >> > > > >> > ------------------------------------ > > >> > > > >> > **** 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! Groups Links > > >> > > > >> > > > >> > > > >> > > > > > > > > > > > > ------------------------------------ > > > > > > **** 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! Groups Links > > > > > > > > > > > >
