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[amibroker] Re: Backtester is opening positions at bar *low*,not at *close*


  • Date: Wed, 30 Dec 2009 18:21:07 -0000
  • From: "progster01" <progster@xxxxxxxxxxxxxxxxxx>
  • Subject: [amibroker] Re: Backtester is opening positions at bar *low*,not at *close*

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No, he meant "lower than low" as stated.

The reason is that the backtester "knows" not to assign a trade price outside the boundaries of the bar.

--- In amibroker@xxxxxxxxxxxxxxx, "Potato Soup" <potatosoupz@xxx> wrote:
>
> You mean with prices lower than "Close", not Low right?

> -----Original Message-----
> From: Tomasz Janeczko <groups@xxx>
> Date: Wed, 30 Dec 2009 16:48:53 
> To: <amibroker@xxxxxxxxxxxxxxx>
> Subject: Re: [amibroker] Re: Backtester is opening positions at bar *low*,
>  not at *close*
> 
> Hello,
> 
> Such behaviour can only have one explanation, you
> are overriding BuyPrice/ShortPrice with prices lower than Low.
> It can happen for example if you are referring to previous day prices 
> (using Ref())
> that can easily be lower than todays.
> If you can not spot the error in formula send it to support and Marcin 
> will tell you where
> error is.
> 
> Best regards,
> Tomasz Janeczko
> amibroker.com
> 
> On 2009-12-30 13:12, Potato Soup wrote:
> >
> >
> > I have that value set to 0% in the Portfolio tab. Has been that way 
> > for some tmie. I will run the test with detailed reports. Thanks.
> >
> > ------------------------------------------------------------------------
> > *From:* Mike <sfclimbers@xxx>
> > *To:* amibroker@xxxxxxxxxxxxxxx
> > *Sent:* Wed, December 30, 2009 1:32:53 AM
> > *Subject:* [amibroker] Re: Backtester is opening positions at bar 
> > *low*, not at *close*
> >
> > There is a setting in AA Settings that prevents taking a position if 
> > your volume exceeds a certain threshold of the bar's volume. If you 
> > were right on the cusp of that threshold with a lessor commission, 
> > perhaps with the greater commission (fewere units, same total price)  
> > you squeeked under the limit and took the trade.
> >
> > Best way to compare is to set AA Settings reporting to detailed, then 
> > run under both scenarios and compare the output. You will see why each 
> > signal was accepted/rejected.
> >
> > Mike
> >
> > --- In amibroker@xxxxxxxxxxxxxxx <mailto:amibroker@xxxxxxxxxxxxxxx>, 
> > Potato Soup <potatosoupz@> wrote:
> > >
> > > Well I have my account balance at $350k and I'm trading no more than 
> > $30k max in positions, how on earth could it skip a trade with that? I 
> > am using 2:1 margin but with that ratio of capital to exposure it 
> > should be impossible to have an effect. What else could be the reason?
> > >
> > > Also I have no changes or uses of BuyPrice/SellPrice and I have 
> > trade delays set to 0 for all four types of orders.
> > >
> > > Given all that, what other reasons could cause this behavior?
> > >
> > > Thanks for your help, as always.
> > >
> > >
> > >
> > >
> > > ________________________________
> > > From: Mike <sfclimbers@>
> > > To: amibroker@xxxxxxxxxxxxxxx <mailto:amibroker@xxxxxxxxxxxxxxx>
> > > Sent: Tue, December 29, 2009 11:52:48 PM
> > > Subject: [amibroker] Re: Backtester is opening positions at bar 
> > *low*, not at *close*
> > >
> > > 1. Changing *any* setting related to pricing can affect your trades. 
> > All it takes is one penny too little in your account to prevent the 
> > taking of a trade, which in turn would mean having more funds 
> > available for the next opportunities (i.e. able to take other trades) 
> > that would not have been there if the original trade were able to be 
> > taken at a penny less.
> > >
> > > 2. If you've confirmed that the AA Settings window has the trade 
> > price marked as Close, and that you have not put in an override in 
> > your AFL code (look for BuyPrice, SellPrice and Signal alteration in 
> > custom backtester code), then check too that you have not set any 
> > trade delays. A trade delay will cause the next bar(s) price to be 
> > used which will likely be different than that of the bar on which the 
> > signal was triggered.
> > >
> > > Mike
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx <mailto:amibroker@xxxxxxxxxxxxxxx>, 
> > Potato Soup <potatosoupz@> wrote:
> > > >
> > > > Now this is really weird. I just ran the backtester again and also 
> > noticed that the trade opening and closing is happening on the LOW of 
> > bars that have signals, not on the CLOSE, as I've defined it in the 
> > settings for the backtester. I have it set to execute trades on Close 
> > for all four parameters (buy,sell,short,cover).
> > > >
> > > > Why would this be happening? I haven't overriden it in my AFL 
> > either. It's completely throwing off the results of the test. 
> > Obviously there's no way to know what the low of a bar would be until 
> > the bar is complete, and in the past.
> > > >
> > >
> > >
> > >
> > >
> > > ------------------------------------
> > >
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> >
> >
> > ------------------------------------
> >
> > **** 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/
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> >
> >
> >
> >
> >
> >
>




------------------------------------

**** IMPORTANT PLEASE READ ****
This group is for the discussion between users only.
This is *NOT* technical support channel.

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TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
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