Re: Backtesting Tradingsystems and Moneymanagement

[tradeshark@xxxx]

Thanks Tomasz 
-will check the beta version.

regards
Stefan

--- In amibroker@xxxx, "Tomasz Janeczko" <amibroker@xxxx> wrote:
> 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@xxxx>
> 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 
> > 
> > 
> > 
> > 
> > 
> > 
> > 
> > 
> > 
> > 
> > 
> > Your use of Yahoo! Groups is subject to 
http://docs.yahoo.com/info/terms/ 
> > 
> > 
> >