Thanks Mike.
--- In [email protected], "Mike" <sfclimb...@...> wrote:
>
> This one comes up on a semi regular basis. Here's a reference from one of the
> earlier iterations, including a link to a completed example.
>
> http://finance.groups.yahoo.com/group/amibroker/message/137483
>
> Mike
>
> --- In [email protected], "Bruce" <brucer@> wrote:
> >
> > 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_blogspot@> 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!
> > > > >
> > > >
> > >
> >
>
