Hi I'm having similar problems with some trades being missed on 1 minute data. The arrows for actual trades are correct but some trades are missed by the back tester. Below is the code I used, Equity is 1,000,000.
As I notice if I change to hour bars there is no problem I wonder if data
integrity an issue?
Any help would be appreciated
Thanks
Peter
SetOption("FuturesMode",True);
PositionSize = MarginDeposit = 1;
SetOption("AllowSameBarExit", True);
SetTradeDelays(0,0,0,0);
SetBacktestMode( backtestRegularRaw );
BuyPrice = C;
SellPrice = C;
MA1 = MA(C,5);
MA2 = MA(C,25);
Buy = Cross(MA1,MA2);
Sell = Cross(MA2,MA1);
From: [email protected] [mailto:[email protected]] On Behalf
Of Mike
Sent: Thursday, 8 October 2009 7:55 a.m.
To: [email protected]
Subject: [amibroker] Re: Why raw signals different than actual trades?
As alluded to by Mark, the default backtest behavior will only allow one
position per symbol at a time. Also, your position size may be causing you
to run out of funds, and your Max Positions setting may be preventing you
from taking on more positions (if trading a portfolio of stocks). See the AA
settings, SetPositionSize function, SetOption function.
Mike
--- In [email protected] <mailto:amibroker%40yahoogroups.com> ,
"fcee150206014" <xk9....@...> wrote:
>
> Hello,
>
> I've been trying to backtest some old ideas but I have a problem, the
system recognizes all the raw signals but ignores more than half when doing
actual trades.
>
>
>
> Thank you for your help.
>
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