Post by andwilson on May 10, 2016 14:53:56 GMT
Tick backtesting with Amibroker version greater or equal 5.90 including version 6.13 results in an UNRELIABLE list of trades.
Version 5.8 returns correct results !!!!
Looks like the problem happens when trades have same entry time
if so, any backtesting using periodicity N-Bar/N-Tick might be affected too.
Something has changed in between version 5.80 and 5.90 that generates the problem.
The problem is easy to reproduce if your time stamp tick data does not have miliseconds (HH:MM:SS),
Do a backtest using a basic average cross system, like the one below,
and you will find consecutives Shorts and Buys instead of seeing alternation
VERSION 6.13
s32.postimg.org/45j7zn9ud/v613.jpg
VERSION 5.8
s32.postimg.org/o68voocg5/ab580.jpg
Version 5.8 returns correct results !!!!
Looks like the problem happens when trades have same entry time
if so, any backtesting using periodicity N-Bar/N-Tick might be affected too.
Something has changed in between version 5.80 and 5.90 that generates the problem.
The problem is easy to reproduce if your time stamp tick data does not have miliseconds (HH:MM:SS),
Do a backtest using a basic average cross system, like the one below,
and you will find consecutives Shorts and Buys instead of seeing alternation
VERSION 6.13
s32.postimg.org/45j7zn9ud/v613.jpg
VERSION 5.8
s32.postimg.org/o68voocg5/ab580.jpg
SetChartOptions(0,chartShowArrows|chartShowDates);
_N(Title = StrFormat("{{NAME}} - {{INTERVAL}} {{DATE}} Open %g, Hi %g, Lo %g, Close %g (%.1f%%) {{VALUES}}", O, H, L, C, SelectedValue( ROC( C, 1 ) ) ));
Plot( C, "Close", ParamColor("Color", colorDefault ), styleNoTitle | ParamStyle("Style") | GetPriceStyle() );
SetOption("FuturesMode", True);
PositionSize = MarginDeposit = 1;
RoundLotSize = 1;
per1 = Param("MMe1",10,1,100,1);
per2 = Param("MMe2",20,2,150,1);
MMe1 = EMA(Close,per1);
MMe2 = EMA(Close,per2);
Plot(MMe1,"MMe1",colorGreen);
Plot(MMe2,"MMe2",colorRed);
Buy = Cross( MMe1, MMe2 );
Short = Cross( MMe2, MMe1 );
Sell = Short;
Cover = Buy;
PlotShapes(IIf(Buy, shapeUpArrow, shapeNone),colorGreen, 0,L, Offset=-45);
PlotShapes(IIf(short, shapeDownArrow, shapeNone),colorRed, 0,H, Offset=-45);