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Hello Tomasz,
I'd like to backtest a strategy, that not only includes particular
technical buy and sell signals, but also specific entry and exit
calculations and entry/ exit prices resulting from these calculations
( comparable to the ones I posted here with my MM system ).
Is there a possibility, to add either ATR based stops ( profit and
loss ) to the backtesting settings or to include specific formulae in
the trading-system itself, which would override the settings in
backtesting ?
I.e. in Omnitrader, you can set ATR based stops by defining 1. the
period to calculate ATR ( 1 - xxx days ) and 2.the range of ATR (
i.e. 1.5 times or 2 times ).
This means, one can employ a trailing stop based on changing
conditions for volatility.
Furthermore, it would be great to have the possibility, to backtest
systems not only for a given account size, but on dynamic-
positionsizing.
I.e. , my system is able to determine the optimum positionsize, based
on my risk rules and account size, for each security by using it's 5
day or 10 day volatility range, stop-loss and profit targets.
This positionsize can vary considerably from day to day ( or week to
week ) and makes sometimes adjustments necessary in order to get the
best out of trade.
I have yet to find a software, that let's me backtest such a MM
system. I know, that wealthlab is able to do this and the formulae
look rather similar to AB's.
Here a few links to WB to demonstrate the functions I mean :
http://www.wealth-lab.com/cgi-bin/WealthLab.DLL/getpage?
page=FnTradingSystem.htm
http://www.wealth-lab.com/cgi-bin/WealthLab.DLL/getpage?
page=FnPositionManagement.htm
http://www.wealth-lab.com/cgi-bin/WealthLab.DLL/getpage?
page=SystemsCoding.htm
As for an example, here the kind of standardcode used in WB for Set
position data :
n := CumDown( Bar, #Close, 4 );
if n >= 9 then
begin
BuyAtMarket( Bar + 1, 5000 );
SetPositionData( LastPosition, n );
end;
I'd like to use now a formula which refers to my system at this
point :
BuyAt(Result of my formula)( Bar + 1, ( result of my formula );
Do you think something like this would be possible in AB ?
best regards
Stefan
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