yes, that seems to be the case. I worked around it by setting trade delays to 1 and prices to open. It is not perfect in the case of opening gaps, but pretty close.
Thanks for your suggestion of using intraday data, I hadn't thought of that :) cheers Chris --- In [email protected], "sebastiandanconia" <sebastiandanco...@...> wrote: > > Well, for starters, using your code exactly as you posted it I can reproduce > the condition in AB 5.2, so I "get" what you're talking about. > > In looking through some of the trades it appears as though the problem > crops-up when the day of the MAE is the same day as the long exit. > > If you change your code so that there's a 2-day delay on your long exit (so > that the exit date in your example goes to Feb. 10 instead of Feb. 8) the MAE > is as it should be, reflecting the intraday lows of Feb. 8 and Feb. 9. > > This condition (if I'm understanding it correctly) is related to how AB > processes EOD data. There's an intraday low made on the exit day, BUT with > EOD data AB doesn't "know" what the intraday low was until after the market > closes and you update your data. > > And since your system exits on the close with no delays BEFORE AB has all the > data (including the intraday low), as far as it's concerned there was no > further MAE beyond the closing price where the system exited. > > So that's the problem, and it seems to be a legitimate one, but I don't have > a solution, except to get intraday data.:) It's not a "bug", but related to > the way AB processes EOD data. Maybe Tomasz or one of the other > more-advanced users can suggest a different solution. > > > Sebastian > > > > --- In [email protected], "q03237241" <adsligtd@> wrote: > > > > Thanks Sebastian but going long only didn't help either. > > > > Looking at the individual trades, in the case of longs the backtest MAE > > seems to show an error when a trade low happens to coincide with on the > > closing bar. > > > > This system sells at the close of the bar but the MAE calculation appears > > to ignore if a trade low occurred during the closing bar. > > > > I've tried it with other trade systems as well. It would be interesting to > > see if anybody else experiences the same problem….. > > > > Regards > > Chris > > > > > > --- In [email protected], "sebastiandanconia" <sebastiandanconia@> > > wrote: > > > > > > Your system reverses to short on long exits, is that right? (Sell = Short > > > = Cross(StoD,StoK);) Have you checked to see what happens if you just > > > set it to "Buy" and "Sell" so you're just getting the long trades? Maybe > > > the fact that the system is reversing from long to short within the same > > > bar is "confusing" AB? > > > > > > I don't know for sure that this is it, but it's something to try. (JMO, > > > but I think the best practice is to test long and short systems > > > separately, anyway, just because long and short trades behave differently > > > from each other.) > > > > > > > > > Sebastian > > > > > > --- In [email protected], "q03237241" <adsligtd@> wrote: > > > > > > > > Hi, > > > > > > > > I have been going cross-eyed with this for days, so I am hoping someone > > > > can point me in the right direction. > > > > > > > > I am trying a system that buys/sells on a stochastic cross. However > > > > when I examine the backtest output, I cannot reconcile the MAE% figure > > > > with the simulated trade data. > > > > > > > > > > > > Here is the code: > > > > > > > > //enter at close of bar > > > > SetTradeDelays(0,0,0,0); > > > > BuyPrice = C; > > > > SellPrice = C; > > > > ShortPrice = C; > > > > CoverPrice = C; > > > > > > > > > > > > //Stochastic indicator > > > > > > > > Userfriendly = Param("User Friendly Variable",1,1,50,1); > > > > periods = Param( "Periods", 15, 1, 200, 1 ); > > > > Ksmooth = Param( "%K avg", 3, 1, 200, 1 ); > > > > Dsmooth = Param( "%D avg", 3, 1, 200, 1 ); > > > > StoD = StochD( Userfriendly*periods , Userfriendly*Ksmooth, > > > > Userfriendly*DSmooth); > > > > StoK = StochK( Userfriendly*periods , Userfriendly*Ksmooth); > > > > > > > > //----------------------------------------------- > > > > > > > > // buy & Sell conditions > > > > > > > > Buy = Cover = Cross(StoK,StoD); > > > > Sell = Short = Cross(StoD,StoK); > > > > Buy = ExRem(Buy,Sell); > > > > Sell = ExRem(Sell,Buy); > > > > > > > > > > > > Plot(C,"C",colorBlack,styleCandle); > > > > Plot( StoD, "StoD", colorBlue, styleLine|styleLeftAxisScale); > > > > Plot( StoK,"StoK", colorRed,styleLine|styleLeftAxisScale); > > > > > > > > ////////////END///////////////////////////////////// > > > > > > > > > > > > As an example, when I run the backtest on ticker SKI.AX I get a long > > > > entry @ $1.33 on Jan29 – 2010 with an exit @ $1.31 Feb8. Reported MAE > > > > of 1.5%. > > > > > > > > When I check the chart I get trade open $1.33 and trade low of $1.30 > > > > (Feb8) giving a MAE of $0.03c or 2.25%. > > > > > > > > Checking other trades gives similar results. All the MFEs I have > > > > checked seem ok. > > > > > > > > Does anyone have any pointers for me? > > > > > > > > > > > > Thanks > > > > Chris > > > > > > > > > >
