Understood. Depending on the strategy, this may or may not be desirable. It would be useful to have a configurable boolean option to control whether the backtester continues searching for eligible trades after finding insufficient funds.
Thanks, Steve --- In [email protected], "Tomasz Janeczko \(groups\)" <gro...@...> wrote: > > That is not a bug but operation as per specification. > The trades are taken in order of absolute position score. > If trade with higher position score can not be open because of insufficient funds, > the backtester will not enter any more trades on given day/bar using > signals that have lower position score. > This prevents entering trades on poor candidates (low position score) > only because you have run out of funds. > If you want to add handicap for low-priced stocks, just include price (or rather > inversion of price) in your position score. > > Best regards, > Tomasz Janeczko > amibroker.com > ----- Original Message ----- > From: hydrob...@... > To: [email protected] > Sent: Tuesday, June 02, 2009 5:06 AM > Subject: [amibroker] Re: a bug in portfolio tester? > > > > Not sure if this is the same issue you are seeing, but there is an issue > > involving insufficient funds when high priced stocks have a greater > > position score than low priced stocks. > > > > http://www.amibroker.com/feedback/view_bug.php?bug_id=1619 > > > > --- In [email protected], "Tomasz Janeczko \(groups\)" > > groups@ wrote: > >> > >> Hello, > >> > >> There is no bug. If it says that position is not entered because of > > insufficient funds it means > >> that desired position can't be opened with specified size. > >> Most probably either your formula specifies wrong (too high) size, or > > your round lot sizing > >> does not allow too small pos, or you don't have "position size > > shrinking" option enabled. > >> If you have trouble, send the formula to SUPPORT and we will point out > > the error in your formula. > >> > >> Best regards, > >> Tomasz Janeczko > >> amibroker.com > >> ----- Original Message ----- > >> From: liguoyi > >> To: [email protected] > >> Sent: Monday, June 01, 2009 12:51 PM > >> Subject: [amibroker] a bug in portfolio tester? > >> > >> > >> > >> > >> Hi, > >> > >> I am trying to test the scale in/out in AM5.2, and base the code on > > the AM tutorial on scalein/out. I found that, sometimes, portfolio > > backtester doesn't enter a trade, even though there are enough cash. For > > example, I set the backtester initial fund to 100,000, max 4 open > > positions, and each position will use 10,000, report to detailed log > > mode. It is very strange that backtester doesn't enter the trade on some > > days, like 14/4/09 and shows message. > >> CTV not entered because of insufficient funds > >> But there is 80,514.9 cash available. A trade only needs 10,000 > >> > >> Anyone has seen this issue before? Is it a bug? > >> > >> thanks, > >> Steven > >> > >> > >> Date Information > >> > >> 3/4/2009 > >> Entry signals(score): > >> Exit signals: > >> 0 Open Positions: , Equity: 100000, Cash: 100000 > >> 6/4/2009 > >> Entry signals(score):ALV=Buy(68.6973), YRCW=Buy(66.7675), > > BCS=Buy(64.5193), ACH=Buy(63.5376), BGC=Buy(63.3302), JBL=Buy(62.4348), > > TIN=Buy(60.5582), FCX=Buy(60.5032), > >> Exit signals: > >> Enter Long, ALV, Price: 22.53, Shares: 440, Commission: 2, Rank: > > 68.6973, Equity 99996, Margin Loan: 0, Fx rate: 1 > >> Enter Long, YRCW, Price: 5.42, Shares: 1840, Commission: 2, > > Rank: 66.7675, Equity 99992, Margin Loan: 0, Fx rate: 1 > >> Enter Long, BCS, Price: 10.24, Shares: 970, Commission: 2, Rank: > > 64.5193, Equity 99988, Margin Loan: 0, Fx rate: 1 > >> Enter Long, ACH, Price: 18.01, Shares: 550, Commission: 2, Rank: > > 63.5376, Equity 99984, Margin Loan: 0, Fx rate: 1 > >> 4 Open Positions: , ALV (+440), , YRCW (+1840), , BCS (+970), , > > ACH (+550), Equity: 99816.3, Cash: 60267.7 > >> 7/4/2009 > >> Entry signals(score):LAMR=Buy(68.0092), CE=Buy(66.6134), > > ALV=Buy(62.2498), ACH=Buy(59.5062), FCX=Buy(59.2346), BGC=Buy(56.7888), > > HPT=Buy(55.0469), BX=Buy(53.7648), > >> Exit signals:BCS=Sell, CI=Sell, FRPT=Sell, JBL=Sell, TIN=Sell, > > YRCW=Sell, > >> Exit Long, YRCW, Price: 5.17, (Avg. exit pr. 5.17), Shares: > > 1840, Commission: 2, (Total comm.: 4), Profit: -464 (-4.65 %), Entry > > rank:66.7675, Equity: 98051.8, Fx rate: 1 > >> Exit Long, BCS, Price: 9.468, (Avg. exit pr. 9.468), Shares: > > 970, Commission: 2, (Total comm.: 4), Profit: -752.84 (-7.58 %), Entry > > rank:64.5193, Equity: 98051.8, Fx rate: 1 > >> Enter Long, LAMR, Price: 13.72, Shares: 720, Commission: 2, > > Rank: 68.0092, Equity 97919.8, Margin Loan: 0, Fx rate: 1 > >> Enter Long, CE, Price: 15.6003, Shares: 640, Commission: 2, > > Rank: 66.6134, Equity 97915.8, Margin Loan: 0, Fx rate: 1 > >> 4 Open Positions: , ALV (+440), , ACH (+550), , LAMR (+720), , > > CE (+640), Equity: 97384.1, Cash: 59093.9 > >> 8/4/2009 > >> Entry signals(score):PAY=Buy(66.8912), HOG=Buy(62.6152), > > ACH=Buy(61.577), BGC=Buy(59.7941), DB=Buy(59.7539), HPT=Buy(57.583), > > CI=Buy(56.9387), FCX=Buy(56.7986), > >> Exit signals:LEN=Sell, MBI=Sell, XCO=Sell, > >> 4 Open Positions: , ALV (+440), , ACH (+550), , LAMR (+720), , > > CE (+640), Equity: 98179, Cash: 59093.9 > >> 9/4/2009 > >> Entry signals(score):CE=Buy(72.8305), VMED=Buy(72.798), > > ALV=Buy(70.1462), PAY=Buy(68.8664), HOG=Buy(68.3335), ACH=Buy(65.9337), > > DB=Buy(65.6035), BGC=Buy(64.8912), > >> Exit signals:ALV=Scale-Out, CE=Scale-Out, CI=Scale-Out, > > DB=Scale-Out, HOG=Scale-Out, HPT=Sell, M=Sell, PAY=Scale-Out, STT=Sell, > > WSM=Sell, > >> Scale-Out Long ALV, Price 24.783, Shares 220, Fx Rate 1, Number > > of shares - Current: 220, Exited: 220, Total Cost: 9913.2, Avg. Entry > > Price 22.53, Avg. Exit Price 24.783, Avg Fx. Rate Entry 1, Exit 1, > > Entry+scaling commission 4 > >> Scale-Out Long CE, Price 17.1603, Shares 320, Fx Rate 1, Number > > of shares - Current: 320, Exited: 320, Total Cost: 9984.19, Avg. Entry > > Price 15.6003, Avg. Exit Price 17.1603, Avg Fx. Rate Entry 1, Exit 1, > > Entry+scaling commission 4 > >> 4 Open Positions: , ALV (+220), , ACH (+550), , LAMR (+720), , > > CE (+320), Equity: 101133, Cash: 70033.4 > >> 13/4/2009 > >> Entry signals(score):CE=Buy(74.071), SLT=Buy(73.3671), > > VMED=Buy(73.2845), CTV=Buy(72.7264), AXP=Buy(72.5197), HAR=Buy(71.7026), > > LAMR=Buy(71.2575), HBI=Buy(70.9452), > >> Exit signals:ALV=Sell, FCX=Scale-Out, SPW=Sell, > >> Exit Long, ALV, Price: 22.725, (Avg. exit pr. 23.754), Shares: > > 220, Commission: 2, (Total comm.: 6), Profit: 532.56 (5.37 %), Entry > > rank:68.6973, Equity: 100602, Fx rate: 1 > >> Enter Long, SLT, Price: 8.36, Shares: 1190, Commission: 2, Rank: > > 73.3671, Equity 100569, Margin Loan: 0, Fx rate: 1 > >> 4 Open Positions: , ACH (+550), , LAMR (+720), , CE (+320), , > > SLT (+1190), Equity: 101877, Cash: 65080.5 > >> 14/4/2009 > >> Entry signals(score):CTV=Buy(75.8929), WYN=Buy(74.2171), > > ACH=Buy(68.8466), VMED=Buy(68.2965), YGE=Buy(68.2023), GT=Buy(68.0403), > > SLT=Buy(68.011), CE=Buy(68.0085), > >> Exit signals:ACH=Scale-Out, AXP=Sell, BX=Sell, CMC=Scale-Out, > > LAMR=Sell, MAS=Sell, SFD=Sell, > >> Scale-Out Long ACH, Price 19.811, Shares 270, Fx Rate 1, Number > > of shares - Current: 280, Exited: 270, Total Cost: 9905.5, Avg. Entry > > Price 18.01, Avg. Exit Price 19.811, Avg Fx. Rate Entry 1, Exit 1, > > Entry+scaling commission 4 > >> Exit Long, LAMR, Price: 14.013, (Avg. exit pr. 14.013), Shares: > > 720, Commission: 2, (Total comm.: 4), Profit: 206.96 (2.10 %), Entry > > rank:68.0092, Equity: 101850, Fx rate: 1 > >> CTV not entered because of insufficient funds > >> 3 Open Positions: , ACH (+280), , CE (+320), , SLT (+1190), > > Equity: 101367, Cash: 80514.9 > >> 15/4/2009 > >> Entry signals(score):WYN=Buy(76.2004), VMED=Buy(72.2697), > > CTV=Buy(70.5929), STP=Buy(69.4714), LAMR=Buy(68.8434), SLT=Buy(68.4844), > > BCS=Buy(68.3006), CE=Buy(67.2862), > >> Exit signals:ACH=Sell, CTX=Sell, DRH=Sell, HOG=Sell, JAVA=Sell, > > MBI=Sell, PAY=Sell, TIN=Sell, YGE=Sell, > >> Exit Long, ACH, Price: 21.612, (Avg. exit pr. 20.7279), Shares: > > 280, Commission: 2, (Total comm.: 6), Profit: 1488.83 (15.03 %), Entry > > rank:63.5376, Equity: 101677, Fx rate: 1 > >> WYN not entered because of insufficient funds > >> 2 Open Positions: , CE (+320), , SLT (+1190), Equity: 101973, > > Cash: 86564.2 > >> 16/4/2009 > >> Entry signals(score):WYN=Buy(78.7895), VMED=Buy(75.8454), > > CTV=Buy(74.1817), GT=Buy(73.9597), BCS=Buy(70.9163), CE=Buy(69.2603), > > JBL=Buy(68.0727), CTX=Buy(66.4456), > >> Exit signals:BCS=Scale-Out, CTV=Scale-Out, FRPT=Sell, > > GT=Scale-Out, JBL=Scale-Out, JNY=Sell, LAMR=Sell, VMED=Scale-Out, > > WYN=Scale-Out, > >> WYN not entered because of insufficient funds > >> 2 Open Positions: , CE (+320), , SLT (+1190), Equity: 101940, > > Cash: 86564.2 > >> 17/4/2009 > >> Entry signals(score):GT=Buy(76.3274), LHO=Buy(74.57), > > JNY=Buy(71.7901), CTX=Buy(69.0205), ALV=Buy(68.3688), CE=Buy(68.0378), > > BGC=Buy(65.6471), CMC=Buy(65.4784), > >> Exit signals:AXA=Scale-Out, BCS=Sell, BGC=Scale-Out, DB=Sell, > > DSX=Scale-Out, SLT=Sell, VMED=Sell, WYN=Sell, > >> Exit Long, SLT, Price: 7.848, (Avg. exit pr. 7.848), Shares: > > 1190, Commission: 2, (Total comm.: 4), Profit: -613.28 (-6.16 %), Entry > > rank:73.3671, Equity: 101692, Fx rate: 1 > >> GT not entered because of insufficient funds > >> 1 Open Positions: , CE (+320), Equity: 101512, Cash: 95901.3 > >> > > > > > > > > > > ------------------------------------ > > > > **** IMPORTANT PLEASE READ **** > > This group is for the discussion between users only. > > This is *NOT* technical support channel. > > > > TO GET TECHNICAL SUPPORT send an e-mail directly to > > SUPPORT {at} amibroker.com > > > > TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at > > http://www.amibroker.com/feedback/ > > (submissions sent via other channels won't be considered) > > > > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: > > http://www.amibroker.com/devlog/ > > > > Yahoo! Groups Links > > > > > > >
