|
PureBytes Links
Trading Reference Links
|
Hello,
Your system apparently generates sell signals every bar or almost every bar.
Since "delays" are implemented as Ref() (in your example Sell = Ref( Sell, -2 ) ) so if your system generates sell
signal every bar then sell signal from 2 bars before will be shifted to 'today'
and may give exiting position.
You should eliminate too frequent signals using ExRem/ExRemSpan functions
or better yet write the system so it does not generate unnecessary sell signals at all.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "barkand" <damienb4l@xxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Tuesday, February 03, 2004 7:11 PM
Subject: [amibroker] Re: Portfolio Backtesting with Buy at Open and Sell at Close
> Tomasz,
>
> I changed the Sell back to the Open and changed the Sell delay to 2 --
> so that I could test (using the Individual or Old Backtester) the
> results of selling at the Open on the second day after the Sell
> signal, rather than the day right after the Sell signal.
>
> Surprisingly, with both the Individual and the Old Backtester, with
> over 2/3 of the trades this resulted in the Sell being executed at
> the Open on the *first* day after the *Buy* signal -- i.e., at the
> same price as the Buy -- which resulted in 0% profit. (Yes, I
> entered "2", not "-2", in the Sell delay field.)
>
> Is there some way I can test selling on the second day after the Sell
> signal rather than the first?
>
> Thanks,
>
> Damien
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <amibroker@xxxx>
> wrote:
> > Hello,
> >
> > This mode of operation is supported when backtesting individual
> symbols.
> >
> > Best regards,
> > Tomasz Janeczko
> > amibroker.com
> > ----- Original Message -----
> > From: "barkand" <damienb4l@xxxx>
> > To: <amibroker@xxxxxxxxxxxxxxx>
> > Sent: Sunday, February 01, 2004 12:06 AM
> > Subject: [amibroker] Portfolio Backtesting with Buy at Open and
> Sell at Close
> >
> >
> > > Until now, I've been backtesting the system I've been developing
> with
> > > both Buy and Sell at the Open (and both Buy and Sell delays = 1).
> > >
> > > Today, I changed the Sell to the Close (still delay = 1) to see
> what
> > > impact that would have.
> > >
> > > In the Portfolio Backtest results, I was suprised to find that,
> > > although the Sell was executed at the Close on the day after the
> Sell
> > > signal, the buy of the next stock was executed at the Open of the
> > > same day -- i.e., before the previous stock was sold -- rather
> than
> > > at the Open of the next day.
> > >
> > > How can I get AmiBroker to wait until the day after a Sell at the
> > > Close before it responds to a new Buy signal?
> > >
> > > Thanks,
> > >
> > > Damien
> > >
> > >
> > >
> > > Send BUG REPORTS to bugs@xxxx
> > > Send SUGGESTIONS to suggest@xxxx
> > > -----------------------------------------
> > > Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> > > (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> > > --------------------------------------------
> > > Check group FAQ at:
> http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > >
> > > Yahoo! Groups Links
> > >
> > > To visit your group on the web, go to:
> > > http://groups.yahoo.com/group/amibroker/
> > >
> > > To unsubscribe from this group, send an email to:
> > > amibroker-unsubscribe@xxxxxxxxxxxxxxx
> > >
> > > Your use of Yahoo! Groups is subject to:
> > > http://docs.yahoo.com/info/terms/
> > >
> > >
> > >
>
>
> Send BUG REPORTS to bugs@xxxxxxxxxxxxx
> Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
> -----------------------------------------
> Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> --------------------------------------------
> Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
>
>
> Yahoo! Groups Links
>
> To visit your group on the web, go to:
> http://groups.yahoo.com/group/amibroker/
>
> To unsubscribe from this group, send an email to:
> amibroker-unsubscribe@xxxxxxxxxxxxxxx
>
> Your use of Yahoo! Groups is subject to:
> http://docs.yahoo.com/info/terms/
>
>
>
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Yahoo! Groups Links
To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|