請問amibroker報表上少了幾筆交易問題

nsmvjmsojki

請教版上先進
我使用amibroker編輯均線策略，以非多即空的方式回測，
可是報表上很多筆交易會不見，會出現連續兩個long或連續兩個short的情況，
在日線上回測沒有發現這問題，但在分線上回測就會有此現象發生，
請問是我哪裡沒有設定到嗎？
如下列例子：(測輕原油 CL，30分K，只有一條均線，往上交叉做多，往下交叉做空)

SetPositionSize(1, spsShares);
SetOption("MaxOpenPositions", 1);
SetOption("InitialEquity", 500000);
SetOption("FuturesMode", 1);
SetOption("CommissionMode", 3);
SetOption("CommissionAmount", 2.5);
RoundLotSize = 1;
TickSize = 0.01;   
MarginDeposit = 5000;
PointValue = 1000;

SetTradeDelays(1, 1, 1, 1);
BuyPrice = CoverPrice = Open;
SellPrice = ShortPrice = Open;

MyMA = EMA(C,50);

Buy = Cross(Close , MyMA) ;
Sell = Cross(MyMA , Close) ;
Short = Cross(MyMA , Close) ;
Cover = Cross(Close , MyMA) ;

Buy = ExRem(Buy, Sell);
Sell = ExRem(Sell, Buy);
Short = ExRem(Short, Cover);
Cover = ExRem(Cover, Short);

//--------------------------------------------------

回測報表上卻在一些時間點同時出現兩筆連續short或兩筆連續long




如上圖中間黃色部分的short部分在回測報表上卻沒有出現，
理論上不是應該不是做多不然就只有做空，但是將交易箭頭顯示在k線圖上又有看到這筆交易，
在其它時間點也會有這種情況發生，如果測10分線或5分線會更多，
請問是需要做什麼設定還是程式語法上有什麼問題嗎？
謝謝

joshsmi

Upload project file (extension .apx --> File>Save) and your used 30-minute data till end of may 2007 to reproduce your result.

zaqimon

不知道把這兩行對調回測結果會一樣嗎？
Cover = ExRem(Cover, Short);
Short = ExRem(Short, Cover);

joshsmi

ExRem is not required in Backtest.

nsmvjmsojki

issue.rar (519.23 KB, 下載次數: 279)

14-10-10 23:38 上傳

點擊文件名下載附件

Attached is my *.apx and history data files.
Please have a look and thanks a lot for your help.

joshsmi

nsmvjmsojki 發表於 14-10-10 23:40
Attached is my *.apx and history data files.
Please have a look and thanks a lot for your help.

It is solved.

Go to backtest settings --> portfolio tab and set limit tade size from 10 to zero.
Then it will show the short trade as seen in the chart.




From help:

"
Limit trade size as % of entry bar volume
This prevents from entering the trades greater than given percentage of entry bar's volume. For example if backtesting daily data and today's volume for thinly traded stock is 177,000 shares, setting this to 10% will limit the maximum trade size to 17,700 shares (10% of total daily volume). This prevents from 'affecting the market' by huge orders."

The chart will show all raw signals despite that setting

joshsmi

As you can see in the quote editor the volume is very low.
So if you set a trade size limit in portfolio tab then trade will not be entered but raw signal still be shown in chart.

nsmvjmsojki

Thanks a lot for your help.
The issue has been solved.