|
PureBytes Links
Trading Reference Links
|
I forgot:
take also a look at this doc page
http://www.amibroker.com/f?setoption
specifically "PriceBoundChecking" option
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "Tomasz Janeczko" <groups@xxxxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Monday, December 04, 2006 4:37 PM
Subject: Re: [amibroker] Re: Selling price not set properly sometimes
> Intermilan,
>
> Terry is right and you are wrong.
>
> You are doing the following things wrong:
>
> 1. Never delay trade PRICES.
> SellPrice = Ref(Open, -1 ); // WRONG !
>
> Did you read the User's Guide Tutorial about backtesting?
> http://www.amibroker.com/guide/h_backtest.html
>
> it is must-read. Come on this is not so much text inside
> so it is pretty easy to read it as many times as needed
> to absorb or at least keep in handy and take a look in case of
> doubt.
>
> And it says:
>
> "
> Controlling trade price
>
> [...]
> During back-testing AmiBroker will check if the values you assigned to buyprice, sellprice, shortprice, coverprice fit into
> high-low
> range of given bar. If not, AmiBroker will adjust it to high price (if price array value is higher than high) or to the low price
> (if price array value is lower than low)"
>
>
>
>> I had to design this way because if I simply buy today and sell
>> tomorrow morning, AmiBroker cannot make tomorrow's purchase (since my
>> equity is still held up by yesterday's purchase), then sell my stocks
>> from today and leave me with cash.
>
> Your description is convoluted enough to become un-cipherable
> ("can not make TOMMORROWS purchaase and THEN SELL stocks from TODAY"????
> - do we have time-space-continuum preserved here or not?)
>
>
> There is however no problem in entering / exiting positions in way described here
>
>>> 1. I scan for signals on Day 1.
>>> 2. I buy signaled stocks at the open on Day 2.
>>> 3. I sell stocks at the open on Day 3.
>
> One thing to watch for is to turn off "allow same day exit".
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: "intermilan04" <intermilan04@xxxxxxxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Sunday, December 03, 2006 11:09 PM
> Subject: [amibroker] Re: Selling price not set properly sometimes
>
>
>> Hi Terry,
>>
>> SellPrice = Open would not work, because I'm selling on the same day
>> of purchase but appending tomorrow's opening price as my SellPrice.
>>
>> I had to design this way because if I simply buy today and sell
>> tomorrow morning, AmiBroker cannot make tomorrow's purchase (since my
>> equity is still held up by yesterday's purchase), then sell my stocks
>> from today and leave me with cash.
>>
>> Regards,
>>
>> intermilan04
>>
>> --- In amibroker@xxxxxxxxxxxxxxx, "Terry" <MagicTH@xxx> wrote:
>>>
>>> Just set SellPrice = Open;
>>>
>>> You are trying to "fix" something that Amibroker already handles with
>>> SetTradeDelays.
>>>
>>> // Options
>>> SetTradeDelays(1, 1, 1, 1);
>>>
>>> BuyPrice = SellPrice = Open;
>>> Buy = SomeCondition;
>>> Sell = Ref(Buy, 0);
>>>
>>> --
>>> Terry
>>> -----Original Message-----
>>> From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]
>> On Behalf
>>> Of intermilan04
>>> Sent: Saturday, December 02, 2006 21:15
>>> To: amibroker@xxxxxxxxxxxxxxx
>>> Subject: [amibroker] Selling price not set properly sometimes
>>>
>>> Hi all,
>>>
>>> I have a trading system which is intended to work in the following way:
>>>
>>> 1. I scan for signals on Day 1.
>>> 2. I buy signaled stocks at the open on Day 2.
>>> 3. I sell stocks at the open on Day 3.
>>>
>>> In a nutshell, here is a portion of my code that are relevant.
>>>
>>> // Options
>>> SetTradeDelays(1, 1, 1, 1);
>>>
>>> Buy = SomeCondition;
>>> BuyPrice = Open;
>>> Sell = Ref(Buy, 0);
>>> SellPrice = Ref(Open, 1);
>>>
>>> I'm deliberately doing Sell = Ref(Buy, 0); so that I can free up my
>>> Equity for next day's purchase of new stocks. If I do Ref(Buy, 1),
>>> the Backtester tries to buy stocks next morning, can't do so because I
>>> have positions from previous day, and sell my stocks, and I end up
>>> with a cash position which could have been utilized on new stocks.
>>>
>>> Well, that became a lengthy explanation but the problem is the
>>> SellPrice = Ref(Open, 1); code. While it works most of the times, it
>>> does not work 100%. Here is a situation where it failed;
>>>
>>> Ticker Trade Date Price Ex. date Ex. Price % chg
>>> Profit % Profit
>>> REGN Long 2006/11/30 21.5 2006/11/30 21.54 0.19% 18
>>> 0.10%
>>> OVTI Long 2006/11/30 16.6 2006/11/30 16.04 -3.37% -574
>>> -3.46%
>>> TLAB Long 2006/11/30 9.99 2006/11/30 10.05 0.60% 88
>>> 0.52%
>>> BRCM Long 2006/11/30 32.88 2006/11/30 32.66 -0.67% -124
>>> -0.75%
>>>
>>> I have no problem with REGN, TLAB, BRCM; the Ex. Price is that of the
>>> Open price of next day.
>>> But for OVTI, the 16.04 exit price is filthily wrong. The stock
>>> gapped down big time to 14.22, and my AmiBroker quote for OVTI of 12/1
>>> shows 14.22 as well, so it is not the case of me having corrupted
>>> quote data. It appears that the 16.04 exit price is the low price of
>>> the day, but then, I never set my SellPrice at Low.
>>>
>>> I will greatly appreciate any insights as to why my problem has
>>> occurred. It's driving me crazy because if things like this happen, I
>>> might get rosier results than what reality might bring.
>>>
>>> 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 NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
>>> http://www.amibroker.com/devlog/
>>>
>>> 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 NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
>> http://www.amibroker.com/devlog/
>>
>> 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 NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> http://www.amibroker.com/devlog/
>
> For other support material please check also:
> http://www.amibroker.com/support.html
>
> Yahoo! Groups Links
>
>
>
>
>
Content-Description: "AVG certification"
No virus found in this incoming message.
Checked by AVG Free Edition.
Version: 7.5.430 / Virus Database: 268.15.6/566 - Release Date: 12/3/2006 4:36 PM
|