Woodshedder - I will answer your question about the low-level CBT explanation, but I want to see if I can give a simpler example in the morning when I'm fresh.
In the meantime, I'd suggest looking for these lines at the top of the Profit Table AFL - YearChange = yr != Ref( yr, -1 ); MonChange = mo != Ref( mo, -1 ); You should test the following, but I believe that it will work - YearChange = yr != Ref( yr, 1 ); MonChange = mo != Ref( mo, 1 ); -- BruceR --- In [email protected], "woodshedder_blogspot" <woodshedder_blogs...@...> wrote: > > Thanks Bruce. I'll look at the profit table to see about modifying it as #3 > is my preferred method. > > --- In [email protected], "Bruce" <brucer@> wrote: > > > > This is an easy one, so I'll take it while I'm here. This has been > > discussed before relative to the AFL that the report is based on. There > > are slightly different definitions of monthly returns. > > > > 1. You are looking at it as open on 9/1 to close on 9/30. > > 2. That report looks at it as close on 9/1 to close on 9/30. > > 3. Most of the end of day fund traders look at it as end of day 8/31 to end > > of day 9/30. > > > > Dealer's choice. > > > > The profit table is easily modified to reflect #3. Little harder to do #1. > > Having it reflect any specified backtest trade prices -> problematic. > > > > -- BruceR > > > > --- In [email protected], "woodshedder_blogspot" > > <woodshedder_blogspot@> wrote: > > > > > > The problem I'm having is the built-in profit table, accessible from > > > AA-->Report-->Charts menu, seems to be giving me a different monthly > > > result from the backtester results. > > > > > > Try this to recreate what I'm seeing... > > > > > > The symbol I'm using is SPY. > > > Use current symbol. > > > Date range = 9/1/09-9/30/09 > > > BuyPrice=Open with 0 delay > > > SellPrice=Close with 0 delay > > > No commissions, long only. > > > > > > Buy = C > 1; > > > Sell = 0; > > > > > > Click on Backtest. The report shows a change of 3.57% > > > Now click on Report-->Charts, and look at September...The table shows a > > > return of 5.4% > > > > > > Shouldn't the backtest report change for the SPY equal the September > > > change on the Profit Table? What am I missing? > > > > > > Thanks! > > > > > >
