Probably I'm blind, but I cannot find any information about the mentioned UpdateEquity() function, any searches in the online/offline manual result nothing. Could someone provide me with a link?
Thanks. --- In amibroker@yahoogroups.com, Tomasz Janeczko <gro...@...> wrote: > > Hello, > > The value of bo.Equity is correct. > > And your findings are incorrect. > "Use previous bar equity" works as described in the manual. > > You are making mistake in your thinking/debugging. > Your formula is checking bo.Equity BEFORE calling ProcessTradeSignals(). And > it is giving you last known > equity value. That is the reason of your incorrect findings. > > If you are using custom backtester interface, there are clearly defined > points where *you* are in charge > and when AB is in charge (and can update anything). It will NOT do any > "magical steps" out of blue right after > for( bar = 0; bar < BarCount; bar++ ) loop. If you want to update equity to > the current bar you either > must call ProcessTradeSignals() (it will update equity and process signals) > OR... if you want to have > current bar equity WITHOUT calling ProcessTradeSignals, you have to call > UpdateEquity( bar, 0 ) function. > > The difference that "Use previous bar equity" makes in case of CBT is that > ***INSIDE*** ProcessTradeSignals() > it will use either previous bar or current bar equity, depending on setting, > and it will affect the size > of position open (if you are using spsPercentOfEquity or otherwise depend on > available equity) > > Recommended reading: > http://www.amibroker.org/userkb/2008/03/16/amibroker-custom-backtester-interface-2/ > > > Best regards, > Tomasz Janeczko > amibroker.com > > On 2010-07-15 20:15, rise_t575 wrote: > > > > Hi, > > > > I've just found out what is happening, but I have not the slightest idea > > why. > > > > The backtester is *always* using previous bar equity for positions sizing, > > although this setting is *not* ticked, and I haven't included the > > corresponding SetOption function. > > > > In fact, the backtests and the debugging logs are exactly identical when > > UsePrevBarEquityForPosSizing is True and when it is False. > > > > Is this some bug or isn't that setting being used when using CBT for > > position sizing? > > > > Thanks in advance! > > > > --- In amibroker@yahoogroups.com, "rise_t575"<rise_t@> wrote: > >> Hello, > >> > >> The following are the (debug) outputs of a tested position sizing > >> algorithm. > >> > >> I've attached a) part of the code , b) the output of the _TRACE() function > >> from within the CBT code (the TRACE function had been placed within the > >> most inner "if{}" code block), and c) the output of the AA Results window > >> (Detailed Log). > >> > >> Note that on the _TRACE() output, the equity on day 2 (21.01.2000) is > >> still at its intial value (100000), so it hasn't been adjusted for price > >> changes of the position taken at the close of day 1 (which did exist). > >> > >> Since this equity value is used for calculation of the position size of > >> subsequent signals, this is a problem. > >> > >> On the other hand, the output of the AA Results windows on day 2 is > >> correct (99823.2) > >> > >> And - no - "Use previous bar equity for position sizing" is not activated. > >> > >> Does anyone have an idea why bo.equity delivers incorrect values in this > >> case? > >> > >> Thanks in advance! > >> > >> Part of CBT code in question: > >> > >> for ( sig = bo.GetFirstSignal( bar ); sig; sig = > >> bo.GetNextSignal( bar ) ) > >> { > >> if ( sig.IsEntry() ) > >> { > >> currEquity = bo.Equity; > >> pointVal = sig.PointValue; > >> cbtAtr = StaticVarGet( "statAtr" + sig.Symbol ); > >> psUnits = int( currEquity * ( pctVolaRisk / 100 ) > >> / ( cbtAtr[bar] * pointVal ) ); > >> [_TRACE] > >> sig.PosSize = ( 2000 + psUnits ) * -1; > >> } > >> } > >> > >> > >> > >> DebugView Output: > >> [2856] Date: 20.01.2000 Symbol: FDRY Equity: 100000 Cash: 100000 ATR: > >> 14.383258 Units: 69 > >> [2856] Date: 21.01.2000 Symbol: PCLN Equity: 100000 Cash: 89818.2 ATR: > >> 27.671930 Units: 36 > >> [2856] Date: 21.01.2000 Symbol: TYC Equity: 100000 Cash: 89818.2 ATR: > >> 14.318740 Units: 69 > >> [2856] Date: 25.01.2000 Symbol: AKAM Equity: 98382.8 Cash: 59163.1 ATR: > >> 27.247997 Units: 36 > >> [2856] Date: 03.02.2000 Symbol: IBM Equity: 97308.7 Cash: 49107.9 ATR: > >> 4.628230 Units: 210 > >> [2856] Date: 04.02.2000 Symbol: FDRY Equity: 97846.4 Cash: 42716.2 ATR: > >> 13.667122 Units: 71 > >> > >> > >> AA Results Output: > >> 20.01.2000 > >> Entry signals(score):FDRY=Buy(1), > >> Exit signals: > >> Enter Long, FDRY, Price: 147.563, Shares: 69, Commission: 0, Rank: 1, > >> Equity 100000, Margin Loan: 0, Fx rate: 1 > >> 1 Open Positions: , FDRY (+69), Equity: 100000, Cash: 89818.2 > >> > >> 21.01.2000 > >> Entry signals(score):PCLN=Buy(1), TYC=Buy(1), > >> Exit signals: > >> Enter Long, PCLN, Price: 381, Shares: 36, Commission: 0, Rank: 1, > >> Equity 100237, Margin Loan: 0, Fx rate: 1 > >> Enter Long, TYC, Price: 245.493, Shares: 69, Commission: 0, Rank: 1, > >> Equity 100237, Margin Loan: 0, Fx rate: 1 > >> 3 Open Positions: , FDRY (+69), , PCLN (+36), , TYC (+69), Equity: > >> 99823.2, Cash: 59163.1 > >> > >> 24.01.2000 > >> Entry signals(score): > >> Exit signals: > >> 3 Open Positions: , FDRY (+69), , PCLN (+36), , TYC (+69), Equity: > >> 98382.8, Cash: 59163.1 > >> > >> 25.01.2000 > >> Entry signals(score):AKAM=Buy(1), > >> Exit signals: > >> Enter Long, AKAM, Price: 279.313, Shares: 36, Commission: 0, Rank: 1, > >> Equity 98825.1, Margin Loan: 0, Fx rate: 1 > >> 4 Open Positions: , FDRY (+69), , PCLN (+36), , TYC (+69), , AKAM > >> (+36), Equity: 98806.8, Cash: 49107.9 > >> > > > > > > > > ------------------------------------ > > > > **** IMPORTANT PLEASE READ **** > > This group is for the discussion between users only. > > This is *NOT* technical support channel. > > > > TO GET TECHNICAL SUPPORT send an e-mail directly to > > SUPPORT {at} amibroker.com > > > > TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at > > http://www.amibroker.com/feedback/ > > (submissions sent via other channels won't be considered) > > > > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: > > http://www.amibroker.com/devlog/ > > > > Yahoo! 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