Bars in CBT / Equity Array

AFL Programming
1

When executing a CBT, I understand that the available bars are based on the Equity array. On a test run on daily periodicity without using Pad & Align, Bar 0 of the CBT corresponds to the first date in the back test date range, and Bar [BarCount-1] corresponds to the last date in the range.

Based on previous experience, I thought the individual bars available in the CBT would be a superset of the data bars available for each of the watchlist symbols. Therefore, if at least one symbol had data for date X, then the CBT would include a bar for date X as well. If no symbols include data for date Y, then the CBT would not include a bar for date Y either.

However, I now have a case where I am working with individual futures contracts, and Pad & Align is turned off. None of the symbols in my watchlist contain data for 29-May-2017 (US Memorial Day holiday), and yet my CBT does include a bar for this date. However, other market holiday dates such as 2-Jan-2017 are not present in the CBT.

My question is, how does AB determine which bars (dates) to include in the CBT / Equity Array?

2

Generally, if at least one of symbols under test (not Filtered by Apply To Filter or Exclude statement) has data for date X it will be also included in Equity array. Equity array will start with first bar under test ("From" date) and end with last bar under test ("To date").

3

Perhaps I'm missing something, because you seem to be describing exactly the way I thought things worked. However, my Apply To Filter is a single "Include" watchlist named Copper Contracts, which consists of individual futures contracts. There is nothing on the "Exclude" tab of the Apply To Filter window, nor do I use an "Exclude" statement in my AFL. None of the symbols in the Copper Contracts watchlist has data for 29-May-2017, but my Equity Array does have a bar for that date. I'm just trying to figure out why, because I would prefer that the Equity array not have a bar for that date.

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4

Have you checked time shift setting within data base settings?
Have you checked time shift settings of Groups?

5

Yes, I have read your post carefully and I just re-iterated what you already wrote about. I would just run exploration first:

Filter = DateNum() == 1170529;
AddColumn( DateNum(), "DN");
6

@Tomasz when I run your exploration against my Copper Contracts watchlist, there is no output at all. Similarly, if I run my exploration like this:

Filter = True;
AddColumn(C,"Close");

I see data from multiple symbols for 26-May-2017 and 30-May-2017, but nothing for 29-May-2017.

@codejunkie this is an EOD database in MetaStock format, so I don't believe the Time Shift would be relevant. However, I did verify that the Time Shift is set to 0 in the Intraday Settings for the database. Thanks for that suggestion.

7

I discovered my error: I was running with the Artificial Future Bar (AFB) turned on. Since the last day of valid data for one of the copper contracts was 26-May-2017, the AFB that AmiBroker added for that contract was the next non-weekend day of 29-May-2017. Since AFB applies only to Backtests and not to Explorations, this explains why I couldn't find any data for 29-May using an Exploration.

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8

Thanks for posting. Maybe it would not be bad idea to have AFB affecting explorations too.

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