Hi Tomasz, Thank you for your clear explanation regarding the trade pair. I will investigate further to see the working of Backtest / Scan / Explore.
Sincerely, intermilan04 --- In amibroker@yahoogroups.com, "Tomasz Janeczko" <[EMAIL PROTECTED]> wrote: > > Hello, > > You should check the archives. It was discussed to death already. > > Scan shows RAW signals. > RAW signals are all signals generated without any processing. > > Backtester uses TRADES. > > TRADE is BUY-SELL or SHORT-COVER pair. > > If you have sequence of BUY1-BUY2-BUY3-SELL then it is considered > as single BUY1-SELL pair (a TRADE) - assuming that you don't use pyramiding. > > If you use pyramiding, subsequent (redundant) buy signals may be used > to pyramid (scale in) your position. > > See also this picture > http://www.amibroker.com/gifs/bt_regular.gif > > it shows clearly how signals build trade candidates (buy-sell) and how they are > picked according to user-defined position score. > > Best regards, > Tomasz Janeczko > amibroker.com > ----- Original Message ----- > From: "intermilan04" <[EMAIL PROTECTED]> > To: <amibroker@yahoogroups.com> > Sent: Wednesday, July 26, 2006 2:14 AM > Subject: [amibroker] Re: Scan vs Backtest > > > > Graham, > > > > I tried backtesting for 7/24 alone (i.e. the Date Range is from 7/24 > > and to 7/24) the Backtest still did not enter on BTU or WFT, which > > were the top 2 PositionScore according to Scan. > > > > I will attempt to explain what's happening with the following scenarios: > > > > Scenario 1: > > - Scan finds 10 signals for a particular day. > > - Backtester recognizes the same 10 signals as Scan, but only take 4 > > positions due to constraints. > > > > This scenario is OK. > > > > Scenario 2: > > - Scan finds 10 signals for a particular day. > > - Backtester only recognizes 7 signals out of 10, and take 4 positions > > from the 7 signals. > > > > This, is what's happening to me and I'm trying to figure out why. > > > > Regards, > > > > intermilan04 > > > > --- In amibroker@yahoogroups.com, Graham <kavemanperth@> wrote: > >> > >> A trade signal occurs on the day the conditions are correct > >> A trade entry in your backtest occurs when you have the trade > >> conditions occur in accordance with your settings for that backtest, > >> just like you would have in your trading. A buy in a backtest is not a > >> signal, but the trade entry. Backtests are meant to simulate your real > >> trading method. > >> > >> If you have a 1 bar delay setting then your signal occurs on one day > >> and entry is on the enxt day. > >> If you have maxopenpositions set to 10 and you already have 10 open > >> trades in the backtest, then no signal wil be taken in thebacktest, > >> just like in real trading. > >> If you ahve $100k equity, and $97k is alrady in open trades and the > >> next signal requires a trade size of $10k then you will not trade it, > >> the signal is ignored. > >> > >> > >> If you want to maych backtest with your scan then you must have the > >> settings then same > >> > >> > >> > >> -- > >> 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 26/07/06, intermilan04 <intermilan04@> wrote: > >> > Hi Graham, > >> > > >> > Thank you very much for your reply. > >> > I took your advice and changed the filter to > >> > > >> > filter = Ref (Buy, -1); > >> > PositionScore = Ref(SomeCondition, -1); > >> > > >> > to be able to explore what the Backtester takes, in hindsight. > >> > > >> > I still feel it's kinda strange that, Scanning for signals on 7/21 > >> > does not match with Exploring for signals of 7/21 on 7/24... > >> > > >> > Might anyone know what could be causing the problem? Is there a way > >> > to match the above? In the meantime, I'm trying to figure out myself > >> > by backtesting/exploring/scanning but haven't figured yet. > >> > > >> > Regards, > >> > > >> > intermilan04 > >> > > >> > --- In amibroker@yahoogroups.com, Graham <kavemanperth@> wrote: > >> > > > >> > > The signal is what explore or scan will see > >> > > Backtest will take the trade as per your settings (ie 1 bar delay). > >> > > If you want expore to include the delay then you need to include > > this > >> > > delay in your filter eg > >> > > filter = ref(buy,-1); > >> > > > >> > > -- > >> > > 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 <intermilan04@> wrote: > >> > > > Yes I do. I provided my "Explore" results of 7/21, and "Backtest" > >> > > > result of 7/24, which is the next trading day. > >> > > > > >> > > > My plan is to buy stocks that had been signaled a day before, so > >> > > > Backtester "seeing" the same thing as "Explore" is critical. > >> > > > As I had said, I understand that the Backtester doesn't > > necessarily > >> > > > take all siginaled positions due to constraints, but at least > > it needs > >> > > > to "recognize" the same things as "Explore." > >> > > > > >> > > > Regards, > >> > > > > >> > > > intermilan04 > >> > > > > >> > > > --- In amibroker@yahoogroups.com, Graham <kavemanperth@> wrote: > >> > > > > > >> > > > > do you have delays in the settings? looks like you have 1 > > bar delays > >> > > > setting > >> > > > > > >> > > > > -- > >> > > > > 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 <intermilan04@> wrote: > >> > > > > > Hi Graham, > >> > > > > > > >> > > > > > Thank you for your very prompt reply. > >> > > > > > I am sorry if I'm mistaken, but my understanding was that the > >> > Detailed > >> > > > > > Trade Log of below > >> > > > > > > >> > > > > > 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), > >> > > > > > > >> > > > > > contain all the raw trade signals that "Scan" would see, and > >> > Backtest > >> > > > > > picks from the pool? > >> > > > > > > >> > > > > > What's happening to me is that the Backtester doesn't see > > the same > >> > > > > > Entry signals as Scan. > >> > > > > > > >> > > > > > Regards, > >> > > > > > > >> > > > > > intermilan04 > >> > > > > > > >> > > > > > --- In amibroker@yahoogroups.com, Graham <kavemanperth@> > > wrote: > >> > > > > > > > >> > > > > > > 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 <intermilan04@> 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 > >> > > > > > > > > >> > > > > > > > > >> > > > > > > > > >> > > > > > > > > >> > > > > > > > > >> > > > > > > > > >> > > > > > > > > >> > > > > > > > > >> > > > > > > > >> > > > > > > >> > > > > > > >> > > > > > > >> > > > > > > >> > > > > > > >> > > > > > > >> > > > > > > >> > > > > > > >> > > > > > 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 > >> > > > > > > >> > > > > > > >> > > > > > > >> > > > > > > >> > > > > > > >> > > > > > > >> > > > > > > >> > > > > > >> > > > > >> > > > > >> > > > > >> > > > > >> > > > > >> > > > > >> > > > > >> > > > > >> > > > 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 > >> > > > > >> > > > > >> > > > > >> > > > > >> > > > > >> > > > > >> > > > > >> > > > > >> > > > >> > > >> > > >> > > >> > > >> > > >> > > >> > 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 > >> > > >> > > >> > > >> > > >> > > >> > > >> > > >> > > > > > > > > > > > > > > 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 > > > > > > > > > > > > > > > > > Please note that this group is for discussion between users only. 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