Backtest using Aux1 field data

AFL Programming
1

I have some mutual fund price data (via Amiquote / Tingo) that shows the Adjusted price in the O,H,L,C fields and the Unadjusted price in the Aux1 field. I was trying to backtest a simple moving average formula (below), but wanted the backtest to use the Unadjusted price data from the Aux1 field as the Buy / Sell prices. The code runs, but the backtest report is showing the Adjusted prices as the Buy / Sell prices instead of using the Aux1 price. Any ideas on what I am doing wrong? Fyi, I am using AB version 6.20.1. Thanks in advance for any direction.

MA1	 = MA(Aux1,200);
BuyPrice = Aux1;
SellPrice = Aux1;

Buy  = (Aux1 > MA1);
Sell = (Aux1 < MA1);

Filter = 1;
AddColumn(C,"Close", 1.2);
AddColumn(Aux1,"Aux1",1.2);
2

You probably need to turn off Price Bound Checking.

3

Thanks! Yes, that change did result in using the correct (Aux1) prices for Buy/Sell. Am getting odd equity & drawdown curves in the backtest report, but the trade list is now correct. Thanks again.

4

That’s because AB will use the OHLC data to determine things like Equity, MAE, MFE, and Drawdown.

5

OK. Thank you. That makes sense now. Appreciate your help.