Change the Report settings of the AA window to "Detailed Log", run your test again, and see if it tells you why the trade was skipped.
Mike --- In [email protected], "Peter" <are...@...> wrote: > > Hi Mike > > Thanks for the advise. > > The first trade missed is the 4th trade. The MA cross is quite defined and > the trade arrow for the buy and sell marks the trade but the trade isn't > listed as a trade in the AA trade window. > > The ticker is the Aussi SPI Futures 1 minute. There is volume on the bar > but I don't think this is needed as volume isn't a BUY criteria. FX doesn't > have volume and back testing works. I have tried all the options in the back > Tester setting including Position Size Shrinking but with no luck. > > I must be missing the obvious so any further advise from anyone would be > welcome. > > Thanks > > Peter > > > > From: [email protected] [mailto:[email protected]] On Behalf > Of Mike > Sent: Friday, 9 October 2009 2:46 p.m. > To: [email protected] > Subject: [amibroker] Re: Why raw signals different than actual trades? > > > > > > Sorry, hit send too quickly. I see that your position sizing appears in the > code, and I meant to say ratio of the *bar's* volume, not of the *day's* > volume. > > But, you get the point. There are many settings that affect whether a trade > is placed. Go through all the options of the AA window and study them > carefully. Position size shrinking is one of the 'usual suspects' in these > cases. Turn it on and see if it helps. > > Mike > > --- In [email protected] <mailto:amibroker%40yahoogroups.com> , > "Mike" <sfclimbers@> wrote: > > > > Just stating opening equity is not enough information. What is your > position sizing, what is the max number of trades, do you allow position > size shrinking, would your trade represent too large a ratio of the days > trading volume, are you using commissions? All of these will impact whether > a trade is taken or not. > > > > Mike > > > > --- In [email protected] <mailto:amibroker%40yahoogroups.com> , > "Peter" <aretep@> wrote: > > > > > > 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:amibroker%40yahoogroups.com> > [mailto:[email protected] <mailto:amibroker%40yahoogroups.com> ] On > Behalf > > > Of Mike > > > Sent: Thursday, 8 October 2009 7:55 a.m. > > > To: [email protected] <mailto:amibroker%40yahoogroups.com> > > > 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> > <mailto:amibroker%40yahoogroups.com> , > > > "fcee150206014" <xk9.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. > > > > > > > > > >
