Scan gives all raw trade signals Portfolio backtest gives actual trades allowable given the limits of Equity/Trade Size, MaxOpenPositions and any other settings/options/code specified that will affect the trades taken.
-- Cheers Graham AB-Write >< Professional AFL Writing Service Yes, I write AFL code to your requirements http://e-wire.net.au/~eb_kavan/ab_write.htm On 25/07/06, intermilan04 <[EMAIL PROTECTED]> wrote: > Hi all, > > I think I have a case where the backtester does not "see" all signals > which appear when I scan for signals. Here are the details: > > OS: Windows XP > Amibroker: 4.80.2 > > I have a long system with the following setup: > > SetOption("InitialEquity", 30000); > SetOption("AllowSameBarExit", True); > SetOption("ActivateStopsImmediately", True); > SetOption("CommissionMode", 2); > SetOption("CommissionAmount", 7); > SetTradeDelays(1, 1, 1, 1); > PosQty = 4; > SetOption("MaxOpenPositions", PosQty); > PositionSize = -100/PosQty; > > Here is the result of running "Explore" on 2006/7/21 with the > following setup, sorted by PositionScore: > > Filter = Buy; > AddColumn(PositionScore, "PositionScore", 1.4); > > Ticker Date/Time PositionScore > BTU 2006/7/21 1.0794 > WFT 2006/7/21 1.0648 > CXG 2006/7/21 1.0565 > CNX 2006/7/21 1.0557 > EXPD 2006/7/21 1.0554 > VSH 2006/7/21 1.0543 > NYNY 2006/7/21 1.0541 > TSAI 2006/7/21 1.0465 > CMG 2006/7/21 1.0356 > TWMC 2006/7/21 1.0289 > SWFT 2006/7/21 1.0282 > ECOL 2006/7/21 1.0277 > FLOW 2006/7/21 1.0271 > TEN 2006/7/21 1.0171 > PQ 2006/7/21 1.0168 > SHFL 2006/7/21 1.0055 > BCR 2006/7/21 1.0036 > CNW 2006/7/21 1.0006 > > I then backtested the system between 2006/1/1 to 2006/7/24. Here is > the result from 7/24: > 2006/07/24, > Entry signals(score):CXG=Buy(1.05648), NYNY=Buy(1.0541), > TWMC=Buy(1.02888), SWFT=Buy(1.02825), FLOW=Buy(1.02709), BCR=Buy(1.00364), > Exit signals:CNW=Sell, ECOL=Sell, > Enter Long, CXG, Price: 24.6, Shares: 300, Commission: 7, Rank: > 1.05648, Equity 37812.5, Margin Loan: 0, Fx rate: 1 > Enter Long, NYNY, Price: 5.4, Shares: 1700, Commission: 7, Rank: > 1.0541, Equity 37798.5, Margin Loan: 0, Fx rate: 1 > Enter Long, TWMC, Price: 5.54, Shares: 1700, Commission: 7, Rank: > 1.02888, Equity 37784.5, Margin Loan: 0, Fx rate: 1 > Exit Long, ECOL, Price: 21.33, (Avg. exit pr. 21.33), Shares: 400, > Commission: 7, (Total comm.: 14), Profit: -230 (-2.63 %), Entry > rank:1.05599, Equity: 37784.5, Fx rate: 1 > 3 Open Positions: , CXG (+300), , NYNY (+1700), , TWMC (+1700), > Equity: 38836.5, Cash: 11827.5 > > If you see the Entry signals(score) line, the Backtester clearly > missed BTU and WFT, which scored the highest PositionScore. The > Backtester missed other signals too. I am aware that Backtester does > not always take position in what are being signaled, but it seems to > me that the Backtester doesn't even see the same thing as "Scan" or > "Explore." > > I am willing to disclose more codes if necessary to troubleshoot. > Any help regarding this matter is greatly appreciated. > > Regards, > > intermilan04 > > > > > > > > Please note that this group is for discussion between users only. > > To get support from AmiBroker please send an e-mail directly to > SUPPORT {at} amibroker.com > > For other support material please check also: > http://www.amibroker.com/support.html > > > Yahoo! Groups Links > > > > > > > > ------------------------ Yahoo! Groups Sponsor --------------------~--> GFT Forex Trading Accounts As low as $250 with up to 400:1 Leverage. Free Demo. http://us.click.yahoo.com/lpv1TA/jlQNAA/U1CZAA/GHeqlB/TM --------------------------------------------------------------------~-> Please note that this group is for discussion between users only. To get support from AmiBroker please send an e-mail directly to SUPPORT {at} amibroker.com For other support material please check also: http://www.amibroker.com/support.html Yahoo! Groups Links <*> To visit your group on the web, go to: http://groups.yahoo.com/group/amibroker/ <*> To unsubscribe from this group, send an email to: [EMAIL PROTECTED] <*> Your use of Yahoo! Groups is subject to: http://docs.yahoo.com/info/terms/
