Tomasz - I just read this post, and I am now royally confused. I will chalk it up to my brain being slow, but please indulge me once more...
First, I am backtesting Intraday, not EOD, so time stamps are relevant. Secondly, how can the entry price *not matter* even if I am in FUTURES mode? To simulate real trading, shouldn't the backtester apply the margin deposit *dynamically*, according to the fluctuating price? For example: If IB allows FOREX trading at 40:1 margin, and I am trading EUR.USD, then in order to buy 1 share (100,000 EUR) I only need to pay for 2,500 EUR. In order to Buy 2,500 EUR on 1/3/2008 @ 23:59, the Open price was 1.2840 therefore, $3,210.00 USD (2,500 * 1.2840) must be deducted from my IB cash account in order to Buy the 2,500 EUR. And after buying, my Position Value is $3,143.50 at the Close of the bar (this latter part I now understand). How can you say that the price of buying 100,000 EUR is always fixed at $2,500 USD no matter how the EUR.USD price fluctuates?! How could that simulate a realistic backtest?! Anyone else, please feel free to chime in too. I am either totally confused on how the backteter works with Forex or something is being lost in translation. A bit depressing if I have actually been doing all my backtesting wrong for the past four months. And if that's the case, I need to understand this once and for all. --- In [email protected], "Tomasz Janeczko" <gro...@...> wrote: > > Hello, > > You are completely missing the point and mix up things. > > First: the timestamp - if you backtest on EOD data, the time component does not matter (should be ignored), > because the EOD bar timestamp depends on data source delivering data. > If you use true EOD data, it will be without time component at all. > If you are using compressed intraday data it will use timestamp that is either beginning or end > of interval based on Preferences Tools->Preferences->Intraday "Timestamp ... shows:". > Anyway, the time component does not matter if you backest EOD system and solely depends > on how data source time stamps bars, and has no indication when trade happened. > > Second: position sizing - you are using FUTURES mode. In futures mode when you defined > MarginDeposit, entry price does not matter ! Why? Because in FUTURES mode you just pay > MARGIN DEPOSIT (i.e. $2500) in your case, regardless of current price. > Since you also defined position size of ONE contract, the position sizing DOES NOT depend > on Equity at all, since it will be JUST ONE contract. > > > MarginDeposit = 2500; // $2500 is required to enter that trade, price of actual contract does NOT matter > in futures mode > > SetPositionSize(1, spsShares); // here you say to enter ONE contract. > > So simply $2500 is taken from your account and you have 1 futures contract > open pos, regardless of account equity and any other conditions. > > The price used TO ENTER this position was CORRECT OPEN price: > > "The prices on 11/3/2008 are as follows: Open = 1.2840" > 1.2840 > > > So everything operates as it should > > The EXIT was on 11/4/2008 (not 11/3) therefore data from 11/3 are irrelevant for the exit. > The OPEN price for 11/4/2008 apparently is 1.2574 so the exit is at that price. Again as it should be. > > Best regards, > Tomasz Janeczko > amibroker.com > ----- Original Message ----- > From: ozzyapeman > To: [email protected] > Sent: Thursday, January 22, 2009 1:13 AM > Subject: [amibroker] Re: How to force Backtester to Calculate Position Size on Open Price? > > > Here is an explicit example. > > In addition to OPEN being set in the reserved variables below, OPEN is also set for all trade prices in AA settings: > > > // ----------------------------------------------------------------------- > // BACKTESTER SETTINGS > // ----------------------------------------------------------------------- > > SetBarsRequired(10000, 0); > SetOption("AllowPositionShrinking", False); > SetOption("AllowSameBarExit", True); > SetOption("CommissionAmount", 3.00); > SetOption("CommissionMode", 3); > SetOption("FuturesMode", 1); > SetOption("InitialEquity", 100000); > SetOption("InterestRate",0); > SetOption("MaxOpenPositions", 1); > SetOption("MinPosValue", 0); > SetOption("MinShares", 1); > SetOption("PriceBoundChecking", False ); > SetOption("ReverseSignalForcesExit", False); > SetOption("UsePrevBarEquityForPosSizing", False ); > SetTradeDelays(0, 0, 0, 0); > SetPositionSize(1, spsShares); > TickSize = 0.0001; // The minimum price move of symbol for Forex > PointValue = 100000; > RoundLotSize = 1; > MarginDeposit = 2500; > BuyPrice = SellPrice = ShortPrice = CoverPrice = Open; > > > // ----------------------------------------------------------------------- > // SIMPLE TRADING SYSTEM > // ----------------------------------------------------------------------- > > fast = Optimize( "fast", 3, 5, 10, 1 ); > slow = Optimize( "slow", 6, 10, 15, 1 ); > > Buy = Cross( MACD( fast, slow ), Signal( fast, slow ) ); > Sell = Cross( Signal( fast, slow ), MACD( fast, slow ) ); > > Short = Sell; > Cover = Buy; > > > Backtesting the above on EUR.USD for 11/01/2008 - 12/01/2008 gives the following result ( I will just paste the first line): > > Ticker Trade Date Price > EURUSD Short 11/3/2008 23:59 1.284 > > > Ex. date Ex. Price % chg Profit > 11/4/2008 23:59 1.2575 -2.06% 3326.11 > > > % Profit Contracts Position value Cum. Profit > 105.81% 1 3143.5 3326.11 > > > # bars Profit/bar MAE MFE Scale In/Out > 2 1663.06 -0.47% 2.45% 0/0 > > > The prices on 11/3/2008 are as follows: > > Open = 1.2840 > Low = 1.2525 > High = 1.2900 > Close = 1.2574 > > > If you reverse the Position Value, based on 40:1 leverage, you find that it was calculated on a price of 1.2574, which is the CLOSE: > > $3,143.50 * 40 / 100000 = 1.2574 > > > > > > > --- In [email protected], "ozzyapeman" zoopfree@ wrote: > > > > 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! 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