Mismatch in Backtesting.....pl. Help...AMIBROKER

[bharatk8 10]

I am using a code to test my semi mechanical trading system.

 

This code marks buy/sell/short/cover arrows when I press appropriate

 

tab in properties window during bar replay.

 

And at the end of bar replay,when I run backtest in AA window of AB,it

 

displays PnL and other statistics.

 

While checking these results,I found that last trade of 20th Dec. was

 

marked as loss making trade while it was actually a profitable trade.

 

When I took close look at chart and back testing results,I found a

 

mismatch on this bar.However all other trades have been correctly

 

displayed in BT.

 

My last trade was just before market close (square off of long

 

trade).This trade was correctly marked on chart on last bar of the

 

day.but BT results shows that trade was squared up at 4538 (on 3.15

 

P.M. bar). I am not able to find reason for mis-match.Pl. guide.

 

http://img15.imageshack.us/img15/884...tradingmis.png

 

http://imageshack.us/photo/my-images/15/discretionarytradingmis.png/

 

Uploaded with ImageShack.us

[bharatk8 10]

_SECTION_BEGIN( "USING A TRADE COMPOSITE" );

function DeleteComposite( CompositeName )

{

global Ticker;

oAB = CreateObject( "Broker.Application" );

oStocks = oAB.Stocks();

oStocks.Remove( CompositeName );

oAB.RefreshAll();

}

 

function AddTradeToComposite( Ticker, Action, LMTPrice )

{

global Ticker;

BI = BarIndex();

LBI = LastValue( BI );

 

if ( Action != "" )

{

SignalArray = Nz( Foreign( Ticker + "~SignalArrays", "V", False ) );

BuyPriceArray = Nz( Foreign( Ticker + "~SignalArrays", "O", False ) );

SellPriceArray = Nz( Foreign( Ticker + "~SignalArrays", "H", False ) );

ShortPriceArray = Nz( Foreign( Ticker + "~SignalArrays", "L", False ) );

CoverPriceArray = Nz( Foreign( Ticker + "~SignalArrays", "C", False ) );

 

switch ( Action )

{

 

case "BUY":

SignalArray[LBI] = SignalArray[LBI] | 1;

BuyPriceArray[LBI] = LMTPrice;

break;

 

case "SELL":

SignalArray[LBI] = SignalArray[LBI] | 2;

SellPriceArray[LBI] = LMTPrice;

break;

 

case "SHORT":

SignalArray[LBI] = SignalArray[LBI] | 4;

ShortPriceArray[LBI] = LMTPrice;

break;

 

case "COVER":

SignalArray[LBI] = SignalArray[LBI] | 8;

CoverPriceArray[LBI] = LMTPrice;

break;

 

case "REVLONG":

SignalArray[LBI] = SignalArray[LBI] | 8 | 1;

CoverPriceArray[LBI] = BuyPriceArray[LBI] = LMTPrice;

break;

 

case "REVSHORT":

SignalArray[LBI] = SignalArray[LBI] | 2 | 4;

SellPriceArray[LBI] = ShortPriceArray[LBI] = LMTPrice;

break;

}

 

AddToComposite( SignalArray, Ticker + "~SignalArrays", "V", 7 | atcFlagEnableInIndicator );

AddToComposite( BuyPriceArray, Ticker + "~SignalArrays", "O", 7 | atcFlagEnableInIndicator );

AddToComposite( SellPriceArray, Ticker + "~SignalArrays", "H", 7 | atcFlagEnableInIndicator );

AddToComposite( ShortPriceArray, Ticker + "~SignalArrays", "L", 7 | atcFlagEnableInIndicator );

AddToComposite( CoverPriceArray, Ticker + "~SignalArrays", "C", 7 | atcFlagEnableInIndicator );

}

}

 

Ticker = Name();

Action = "";

 

if ( ParamTrigger( "Buy", "BUY" ) ) Action = "BUY";

if ( ParamTrigger( "Sell", "SELL" ) ) Action = "SELL";

if ( ParamTrigger( "Short", "SHORT" ) ) Action = "SHORT";

if ( ParamTrigger( "Cover", "COVER" ) ) Action = "COVER";

if ( ParamTrigger( "Reverse to Long", "REVLONG" ) ) Action = "REVLONG";

if ( ParamTrigger( "Reverse to Short", "REVSHORT" ) ) Action = "REVSHORT";

if ( ParamTrigger( "Delete Signal Compoiste", "DELETE" ) ) DeleteComposite( Ticker + "~SignalArrays" );

AddTradeToComposite( Ticker, Action, LastValue( Close ) );

 

RequestTimedRefresh( 0.1 );

if ( SetForeign( Ticker + "~SignalArrays" ) )

{

SignalArray = Nz( Foreign( Ticker + "~SignalArrays", "V", False ) );

Buy = IIf( SignalArray & 1, 1, 0 );

Sell = IIf( SignalArray & 2, 1, 0 );

Short = IIf( SignalArray & 4, 1, 0 );

Cover = IIf( SignalArray & 8, 1, 0 );

 

BuyPrice = Nz( Foreign( Ticker + "~SignalArrays", "O" ) );

SellPrice = Nz( Foreign( Ticker + "~SignalArrays", "H" ) );

ShortPrice = Nz( Foreign( Ticker + "~SignalArrays", "L" ) );

CoverPrice = Nz( Foreign( Ticker + "~SignalArrays", "C" ) );

 

PlotShapes( IIf( Buy, shapeSmallUpTriangle, shapeNone ), 5, 0, BuyPrice, 0 );

PlotShapes( IIf( Sell, shapeSmallDownTriangle, shapeNone ), 4, 0, SellPrice, 0 );

PlotShapes( IIf( Short, shapeHollowDownTriangle, shapeNone ), 4, 0, ShortPrice, 0 );

PlotShapes( IIf( Cover, shapeHollowUpTriangle, shapeNone ), 5, 0, CoverPrice, 0 );

 

}

RestorePriceArrays();

 

Plot( C, "", 1, 128 );

_SECTION_END();