Tomasz,
Great explanation - thanks! In fact, you could add this explanation regarding TimeInsideBar to the UpdateStats() section of the AB manual as well. It's a great help in order to understand things better. --- In amibroker@yahoogroups.com, Tomasz Janeczko <gro...@...> wrote: > > Hello, > > You can call UpdateStats( bar, 2 ) but please call it once per bar. When > TimeInsideBar = 2 > two things in addition to updating equity happen: > a) interest earnings are added (from free cash) > b) position exposure and portfolio stats are calculated > > You can get incorrect exposure figures if you call UpdateStats( bar, 2 ) more > than once per bar. > > One thing you should think of: be aware that if you are using current bar > closing equity for > position sizing, you are generating possible future data leak. > How is that so? It is easy - assume that your position sizing depends on > current equity, > you can calculate bar's open equity and open position equal to the difference > between > open equity and close equity of the same bar. And you generate single bar > trade. > This way you have the system that has 100% winning trades, because it is > using future leak in > position sizing. > That is the reason AmiBroker DOES NOT use close equity of current bar for > position sizing. > It either uses previous bar close equity or equity value at the open. > > Best regards, > Tomasz Janeczko > amibroker.com > > On 2010-07-16 15:29, rise_t575 wrote: > > > > I see - thanks. > > > > Actually I would like to use equity calculated from closing prices of the > > current bar (by searching the web, I've found that normally, AB calculates > > equity for position sizing with opening prices of the current bar - and not > > being aware of this has caused me some major headaches the last couple of > > days. Is this mentioned in the position sizing related sections of the > > manual? If not, this information should be added). Reading the description > > of UpdateStats(), it seems like I could achieve this by setting the second > > (TimInsideBar) parameter to "2". When I put "bo.UpdateStats( bar, 2 );" > > into my code, at least the position sizes are calculated exactly the way I > > want them to. > > But there are several warnings about doing this in the method's > > description. Can I unintentionally mess something up by doing this? > > > > Thanks. > > > > --- In amibroker@yahoogroups.com, Tomasz Janeczko<groups@> wrote: > >> Hello, > >> > >> Sorry, the method name is actually UpdateStats() > >> > >> Best regards, > >> Tomasz Janeczko > >> amibroker.com > >> > >> On 2010-07-16 14:06, rise_t575 wrote: > >>> 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<groups@> 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! Groups Links > >>>>> > >>>>> > >>>>> > >>>>> > >>> > >>> > >>> ------------------------------------ > >>> > >>> **** 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! Groups Links > >>> > >>> > >>> > >>> > > > > > > > > ------------------------------------ > > > > **** 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! Groups Links > > > > > > > > >
