Positions open at entry signals in the backtestRegular mode?

[John_Dolittle]

Dear All,

regardless of setting the Backtest Mode as following

SetBacktestMode(backtestRegular); ,

I am still seeming to experience situations where Long positions are open at Buy signals, checked in the CBT as following:

for (bar=0; bar < BarCount; bar++) {	
	for (sig=bo.GetFirstSignal(bar); sig; sig=bo.GetNextSignal(bar)) {							
		if (sig.IsEntry()) {	
	
			// position sizing omitted as irrelevant
				
			for( openpos = bo.GetFirstOpenPos(); openpos; openpos = bo.GetNextOpenPos()) {
				if (sig.Symbol == openpos.Symbol) {
					if (sig.IsLong AND openpos.IsLong) {					
						//sig.PosSize = 0;
						_TRACE("LONG entry, pos exists: " + sig.Symbol + " " + NumToStr(openpos.Shares));
					}
				}				
			}		
		}			
	}	
		
	bo.ProcessTradeSignals(bar);			
}

Furthermore, the outcome depends heavily on whether to accept that signal or not (whether setting the PosSize to zero in the check is commented out or not).

Could you please explain this?

Thanks in advance,

JD

[Tomasz]

The code is incorrect, to omit position in CBT set the sig.Price to -1. Also you are interating thru open positions, AmiBroker won't open a new trade if position is already open in backtestRegular mode. Please read the manual Portfolio-level back testing carefully. It explains how excess signals are removed in backtestRegular mode.

[John_Dolittle]

@Tomasz

The code is incorrect, to omit position in CBT set the sig.Price to -1.

Many thanks for the tip!

@Tomasz

Also you are interating thru open positions, AmiBroker won't open a new trade if position is already open in backtestRegular mode.

I tried to change the value of the sig.posSize between -1 and -2 and the results are still different. The code:

for( openpos = bo.GetFirstOpenPos(); openpos; openpos = bo.GetNextOpenPos()) {
	if (sig.Symbol == openpos.Symbol) {
		if (sig.IsLong AND openpos.IsLong) {					
			sig.PosSize = -1; // or -2
			_TRACE("LONG entry, pos exists: " + sig.Symbol + " " + NumToStr(openpos.Shares));
		}
	}				
}

Shouldn't the result remain the same - that means, if Amibroker does not enter new trades in the backtestRegular mode if open positions exist, shouldn't the value of the sig.posSize have no effect on the outcome...?

[Tomasz]

Please READ CAREFULLY, I did NOT write sig.PosSize = -1. Check my previous post what I wrote.

[John_Dolittle]

I did read your answer. My question is, if the trade is not entered, how is it possible that changing the signal's pos size influences the outcome?

[TrendSurfer]

@John_Dolittle

I did read your answer.

You need to re-read it.

@John_Dolittle

how is it possible that changing the signal's pos size influences the outcome?

Who said anything about the signal's pos size!

@Tomasz

Please READ CAREFULLY, I did NOT write sig.PosSize = -1. Check my previous post what I wrote.

[Tomasz]

Hint 1: In my original reply I did NOT say anything about position size. I wrote sig.Price = -1

@John_Dolittle

how is it possible that changing the signal's pos size influences the outcome?

Hint 2: changing position size (now I am talking about it since you asked) obviously changes the outcome as say 1% of gain from $100 is $1 while 1% gain from say $200 position is $2. So you get different outcome.

[John_Dolittle]

Sorry, but I did ask about changing the signal's position size in my first post. I erroneously thought that setting it to 0 would cancel the trade, but I still asked about changing the pos size.

I changed the pos size of an entry signal that had a matching open position. Because of that, the signal should not trigger a trade and therefore the pos size should not matter. It seems to, however.