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Dear Stefan,
With 3.78 beta you can have ATR based stops using ApplyStop function.
stoplevel = 2 * ATR( 5 );
ApplyStop( 0, 2, stoplevel, 1 ); // apply dynamic max. loss stop based on 2 * ATR
Similarly you can define dynamic profit target and trailing stops.
Position sizing is planned for future releases.
Version 3.9 will allow single position sizing.
In some further future there will be possibility to manage multiple positions at the same
time and the same stock.
Best regards,
Tomasz Janeczko
===============
AmiBroker - the comprehensive share manager.
http://www.amibroker.com
----- Original Message -----
From: <tradeshark@xxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Monday, October 22, 2001 12:39 PM
Subject: [amibroker] Backtesting Tradingsystems and Moneymanagement
> 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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> Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
>
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