Hello,
:-) Well, if you calculate closing equity the way I described, you won't need
low level.
Best regards,
Tomasz Janeczko
amibroker.com
On 2010-07-16 19:34, rise_t575 wrote:
>
> Thanks for this additional info.
>
> I just was thinking something like "My very first CBT code and I have to u
Thanks for this additional info.
I just was thinking something like "My very first CBT code and I have to use
low level... That's what I call bad luck..."
--- In amibroker@yahoogroups.com, Tomasz Janeczko wrote:
>
> Hello,
>
> One more thing to add: as an alternative to going low-level, yo
Yes, correct - that's exactly what I am trying - completely overriding normal
spsPercentOfEquity.
Your reply also clears up the question if using UpdateStats() within the
barcount loop *and* calling ProcessTradeSignals() thereafter would be equal to
using UpdateStats() twice per bar - which s
Hello,
One more thing to add: as an alternative to going low-level, you could iterate
through open positions list on your own
(GetFirstOpenPos/GetNextOpenPos) get number of shares (Shares property) and
multiply by Close price (trade object has GetPrice(bar, "C") method for that),
then
add to
Hello,
Generally speaking you should be using low-level backtest for that.
Guessing from your rather short descriptions, I think that you are trying to
override normal spsPercentOfEquity
position size processing and use your own.
The example codes for using low-level interface are included at
One last question for clarification:
1) On one hand, I have to call bo.ProcessTradeSignals() for updating equity.
2) On the other hand, I have to calculate position sizes *before* calling
bo.ProcessTradeSignals().
3) But for calculating the correct position sizes, my position sizing code has
t
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 wrote:
>
> Hello,
>
> You ca
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
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 headach
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
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 wrote:
>
> Hello,
>
> The value of
Btw - could you (or someone else) tell me where these equity values within the
AA Results list (Detailed Log) are derived from that are stated after e. g.
"ENTER LONG,..." lines?
Thanks.
--- In amibroker@yahoogroups.com, "rise_t575" wrote:
>
>
>
> Tomasz,
>
> Thanks for this info - I'll d
Tomasz,
Thanks for this info - I'll definitely check it out.
I think a lot of such problems originate from a lack of *complete*
understanding how CBT (or a complete backtest for that matter) *internally*
works, i. e. what AB is processing and when, in which order, where exactly does
CBT code
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
eq
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 debu
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