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Dear Stephane,
I took your formula and tried to reproduce the problem,
but the results were quite normal ( look below ).
Could you please send me your data file so I can check on your data?
Best regards,
Tomasz Janeczko
amibroker.com
^DJI Long 05-12-2000 22-02-2001 -66.82 -6.7%
^DJI Long 07-03-2001 12-03-2001 -56.08 -6.0%
^DJI Long 05-04-2001 30-05-2001 67.34 7.7%
^DJI Long 04-06-2001 12-06-2001 -45.01 -4.8%
^DJI Long 13-07-2001 24-07-2001 -46.58 -5.2%
^DJI Open Long 26-07-2001 03-08-2001 -29.32 -3.4%
AA Long 29-11-2000 07-12-2000 32.83 3.3%
AA Long 03-01-2001 12-01-2001 -66.57 -6.4%
AA Long 16-01-2001 12-02-2001 57.61 6.0%
AA Long 15-02-2001 21-02-2001 -74.50 -7.3%
AA Long 27-02-2001 09-03-2001 4.94 0.5%
AA Long 13-03-2001 16-03-2001 -84.88 -8.9%
AA Long 04-04-2001 11-05-2001 99.21 11.4%
AA Long 14-05-2001 24-05-2001 22.00 2.3%
AA Long 31-05-2001 08-06-2001 -43.33 -4.4%
AA Long 02-07-2001 11-07-2001 -62.13 -6.6%
AA Long 12-07-2001 17-07-2001 -48.28 -5.5%
AA Long 18-07-2001 24-07-2001 -66.73 -8.0%
AXP Long 29-11-2000 04-12-2000 -104.44 -10.4%
AXP Long 08-12-2000 15-12-2000 -30.35 -3.4%
AXP Long 29-12-2000 02-01-2001 -60.94 -7.0%
AXP Long 03-01-2001 05-01-2001 -81.19 -10.1%
AXP Long 02-02-2001 07-02-2001 -41.24 -5.7%
AXP Long 12-02-2001 21-02-2001 -59.80 -8.8%
AXP Long 30-03-2001 04-04-2001 -75.56 -12.1%
AXP Long 10-04-2001 23-04-2001 18.24 3.3%
AXP Long 09-05-2001 25-05-2001 15.52 2.7%
AXP Long 03-07-2001 09-07-2001 -37.33 -6.4%
AXP Long 13-07-2001 18-07-2001 -38.71 -7.1%
AXP Long 26-07-2001 03-08-2001 8.42 1.7%
BA Long 05-12-2000 15-12-2000 -71.88 -7.2%
BA Long 18-12-2000 21-12-2000 -86.55 -9.3%
BA Long 12-02-2001 01-03-2001 -1.54 -0.2%
BA Long 02-03-2001 12-03-2001 6.74 0.8%
BA Long 05-04-2001 23-05-2001 131.28 15.5%
BA Long 04-06-2001 08-06-2001 -35.90 -3.7%
BA Open Long 17-07-2001 03-08-2001 134.76 14.3%
C Long 05-12-2000 15-12-2000 -43.65 -4.4%
C Long 19-12-2000 05-01-2001 24.06 2.5%
C Long 12-02-2001 20-02-2001 -64.19 -6.5%
C Long 02-04-2001 04-04-2001 -103.83 -11.3%
C Long 10-04-2001 30-05-2001 83.97 10.3%
C Long 31-05-2001 07-06-2001 -24.06 -2.7%
C Long 21-06-2001 06-07-2001 -50.14 -5.7%
C Open Long 31-07-2001 03-08-2001 13.28 1.6%
CAT Long 30-01-2001 09-02-2001 -60.13 -6.0%
CAT Long 13-02-2001 20-02-2001 -37.98 -4.0%
CAT Long 02-03-2001 12-03-2001 39.32 4.4%
CAT Long 27-03-2001 03-04-2001 -80.10 -8.5%
CAT Long 05-04-2001 25-05-2001 140.48 16.3%
CAT Long 31-05-2001 11-06-2001 -46.31 -4.6%
CAT Long 20-06-2001 25-06-2001 -41.58 -4.4%
CAT Long 13-07-2001 16-07-2001 -57.31 -6.3%
CAT Open Long 17-07-2001 03-08-2001 -61.90 -7.2%
DD Long 30-11-2000 11-12-2000 -14.59 -1.5%
DD Long 13-12-2000 02-01-2001 49.94 5.1%
DD Long 05-02-2001 09-02-2001 -73.12 -7.1%
DD Long 13-02-2001 13-03-2001 32.34 3.4%
DD Long 05-04-2001 25-04-2001 -12.33 -1.2%
DD Long 29-05-2001 15-06-2001 -42.59 -4.3%
DD Long 19-06-2001 03-07-2001 -33.96 -3.6%
DIS Long 06-12-2000 12-12-2000 -72.39 -7.2%
DIS Long 03-01-2001 08-01-2001 -60.17 -6.5%
DIS Long 01-02-2001 23-02-2001 -61.76 -7.1%
DIS Long 26-02-2001 02-03-2001 -76.34 -9.5%
DIS Long 27-03-2001 03-04-2001 -81.77 -11.2%
DIS Long 05-04-2001 23-04-2001 33.21 5.1%
DIS Long 25-04-2001 25-05-2001 21.25 3.1%
EK Long 28-12-2000 02-01-2001 -77.01 -7.7%
EK Long 03-01-2001 16-02-2001 63.64 6.9%
EK Long 23-02-2001 01-03-2001 -20.41 -2.1%
EK Long 05-03-2001 12-03-2001 -28.10 -2.9%
EK Long 10-04-2001 17-04-2001 -57.35 -6.1%
EK Long 21-06-2001 25-06-2001 -49.12 -5.6%
GE Long 05-12-2000 12-12-2000 -48.72 -4.9%
GE Long 18-01-2001 26-01-2001 -78.78 -8.3%
GE Long 30-01-2001 09-02-2001 -28.02 -3.2%
GE Long 12-02-2001 23-02-2001 -47.86 -5.7%
GE Long 26-02-2001 01-03-2001 -58.78 -7.4%
GE Long 30-03-2001 03-04-2001 -54.11 -7.3%
GE Long 05-04-2001 23-05-2001 135.35 19.8%
GE Long 20-06-2001 26-06-2001 -44.65 -5.5%
GE Long 02-07-2001 06-07-2001 -55.20 -7.1%
GM Long 13-12-2000 20-12-2000 -77.00 -7.7%
GM Long 03-01-2001 08-01-2001 -71.96 -7.8%
GM Long 09-01-2001 21-02-2001 -29.25 -3.4%
GM Long 26-02-2001 12-03-2001 -3.89 -0.5%
GM Long 19-03-2001 22-03-2001 -61.66 -7.5%
GM Long 09-04-2001 01-05-2001 -2.24 -0.3%
GM Long 16-05-2001 23-05-2001 -35.96 -4.8%
GM Long 24-05-2001 06-07-2001 61.02 8.5%
GM Long 09-07-2001 18-07-2001 17.82 2.3%
GM Long 20-07-2001 24-07-2001 -46.71 -5.9%
HD Long 29-11-2000 15-12-2000 35.69 3.6%
HD Long 21-12-2000 09-01-2001 67.25 6.5%
HD Long 31-01-2001 07-02-2001 -91.44 -8.3%
HD Long 12-02-2001 16-02-2001 -71.56 -7.1%
HD Long 07-03-2001 12-03-2001 -58.74 -6.2%
HD Long 15-03-2001 22-03-2001 -83.44 -9.5%
HD Long 27-03-2001 11-04-2001 -64.69 -8.1%
HD Long 18-04-2001 29-05-2001 65.45 8.9%
HD Long 21-06-2001 25-06-2001 -57.54 -7.2%
HD Long 12-07-2001 24-07-2001 -22.83 -3.1%
HD Open Long 25-07-2001 03-08-2001 -32.49 -4.5%
HON Long 05-12-2000 12-12-2000 -44.43 -4.4%
HON Long 16-01-2001 29-01-2001 -66.19 -6.9%
HON Long 30-01-2001 09-02-2001 -17.86 -2.0%
HON Long 12-02-2001 23-02-2001 -54.24 -6.2%
HON Long 26-02-2001 01-03-2001 -70.81 -8.7%
HON Long 05-04-2001 23-05-2001 177.99 23.8%
HON Open Long 13-07-2001 03-08-2001 364.64 39.4%
HWP Long 12-12-2000 20-12-2000 -163.55 -16.4%
HWP Long 27-12-2000 02-01-2001 -76.07 -9.1%
HWP Long 03-01-2001 05-01-2001 -67.77 -8.9%
HWP Long 11-01-2001 23-01-2001 -0.22 -0.0%
HWP Long 15-02-2001 16-02-2001 -91.96 -13.3%
HWP Long 06-03-2001 09-03-2001 -45.49 -7.6%
HWP Long 13-03-2001 16-03-2001 -59.34 -10.7%
HWP Long 19-03-2001 03-04-2001 -47.83 -9.7%
HWP Long 05-04-2001 25-04-2001 -35.08 -7.8%
HWP Long 17-05-2001 06-06-2001 -39.50 -9.6%
HWP Long 07-06-2001 11-06-2001 -30.33 -8.1%
HWP Long 29-06-2001 06-07-2001 -25.25 -7.4%
HWP Long 12-07-2001 23-07-2001 -22.74 -7.2%
HWP Open Long 02-08-2001 03-08-2001 -6.34 -2.2%
IBM Long 29-11-2000 30-11-2000 -76.23 -7.6%
IBM Long 05-12-2000 06-12-2000 -93.95 -10.2%
IBM Long 03-01-2001 20-02-2001 138.09 16.6%
IBM Long 27-03-2001 03-04-2001 -100.71 -10.4%
IBM Long 05-04-2001 11-05-2001 105.68 12.2%
IBM Long 16-05-2001 29-05-2001 -23.03 -2.4%
IBM Long 05-06-2001 14-06-2001 -37.84 -4.0%
IBM Long 28-06-2001 06-07-2001 -51.19 -5.6%
IBM Open Long 01-08-2001 03-08-2001 22.27 2.6%
INTC Long 29-11-2000 30-11-2000 -118.42 -11.8%
INTC Long 03-01-2001 05-02-2001 -6.64 -0.8%
INTC Long 15-02-2001 20-02-2001 -84.91 -9.7%
INTC Long 07-03-2001 09-03-2001 -81.10 -10.3%
INTC Long 27-03-2001 29-03-2001 -96.45 -13.6%
INTC Long 11-04-2001 25-04-2001 12.80 2.1%
INTC Long 21-05-2001 29-05-2001 -53.04 -8.5%
INTC Long 05-06-2001 14-06-2001 -35.04 -6.1%
INTC Long 25-06-2001 06-07-2001 -12.61 -2.3%
INTC Open Long 09-07-2001 03-08-2001 -12.87 -2.5%
IP Long 29-11-2000 30-11-2000 -93.00 -9.3%
IP Long 01-12-2000 02-01-2001 46.26 5.1%
IP Long 30-01-2001 08-02-2001 -57.19 -6.0%
IP Long 15-02-2001 12-03-2001 4.80 0.5%
IP Long 10-04-2001 04-05-2001 -6.62 -0.7%
IP Long 10-05-2001 11-05-2001 -50.62 -5.7%
IP Long 16-05-2001 24-05-2001 -39.24 -4.7%
IP Long 29-05-2001 12-06-2001 -35.73 -4.4%
IP Long 11-07-2001 24-07-2001 16.66 2.2%
JNJ Long 07-12-2000 02-01-2001 33.47 3.3%
JNJ Long 02-02-2001 15-02-2001 -24.27 -2.3%
JNJ Long 08-03-2001 13-03-2001 -68.52 -6.8%
JNJ Long 06-04-2001 23-05-2001 60.94 6.5%
JNJ Long 04-06-2001 11-06-2001 -11.09 -1.1%
JNJ Long 28-06-2001 29-06-2001 -73.71 -7.4%
JNJ Long 09-07-2001 25-07-2001 -13.74 -1.5%
JNJ Open Long 03-08-2001 03-08-2001 -29.19 -3.2%
JPM Long 04-12-2000 02-01-2001 140.81 14.1%
JPM Long 07-03-2001 12-03-2001 -84.62 -7.4%
JPM Long 30-03-2001 04-04-2001 -102.63 -9.7%
JPM Long 10-04-2001 09-05-2001 65.39 6.9%
JPM Long 16-05-2001 29-05-2001 -20.19 -2.0%
JPM Long 21-06-2001 26-06-2001 -84.40 -8.5%
JPM Long 02-07-2001 06-07-2001 -53.45 -5.8%
JPM Open Long 27-07-2001 03-08-2001 -12.29 -1.4%
KO Long 28-11-2000 11-12-2000 -26.91 -2.7%
KO Long 21-12-2000 04-01-2001 -36.06 -3.7%
KO Long 08-01-2001 19-01-2001 -60.01 -6.4%
KO Long 25-01-2001 15-02-2001 -19.39 -2.2%
KO Long 16-02-2001 21-02-2001 -61.64 -7.2%
KO Long 16-04-2001 27-04-2001 -4.48 -0.6%
KO Long 16-05-2001 31-05-2001 -30.11 -3.8%
KO Long 28-06-2001 06-07-2001 -27.51 -3.6%
KO Long 09-07-2001 23-07-2001 -16.69 -2.3%
MCD Long 18-12-2000 10-01-2001 -15.60 -1.6%
MCD Long 12-01-2001 24-01-2001 -78.38 -8.0%
MCD Long 16-02-2001 28-02-2001 -49.91 -5.5%
MCD Long 06-04-2001 04-05-2001 -11.31 -1.3%
MCD Long 09-05-2001 04-06-2001 53.86 6.4%
MCD Long 11-06-2001 15-06-2001 -41.35 -4.6%
MCD Open Long 13-07-2001 03-08-2001 37.13 4.3%
MMM Long 01-02-2001 22-02-2001 -32.46 -3.2%
MMM Long 26-02-2001 02-03-2001 -38.06 -3.9%
MMM Long 05-03-2001 12-03-2001 -21.82 -2.3%
MMM Long 09-04-2001 24-05-2001 117.12 12.9%
MMM Long 29-05-2001 20-06-2001 -23.77 -2.3%
MMM Long 19-07-2001 24-07-2001 -56.09 -5.6%
MO Long 09-01-2001 15-02-2001 34.44 3.4%
MO Long 30-03-2001 03-04-2001 -74.86 -7.2%
MO Long 06-04-2001 11-04-2001 -46.58 -4.9%
MO Long 16-04-2001 21-05-2001 63.10 6.9%
MO Long 29-05-2001 04-06-2001 -49.42 -5.1%
MO Long 28-06-2001 05-07-2001 -43.04 -4.6%
MO Open Long 31-07-2001 03-08-2001 20.29 2.3%
MRK Long 04-12-2000 03-01-2001 -28.41 -2.8%
MRK Long 01-02-2001 07-02-2001 -49.64 -5.1%
MRK Long 08-02-2001 13-02-2001 -51.30 -5.6%
MRK Long 28-03-2001 20-04-2001 -13.40 -1.5%
MRK Long 07-05-2001 11-05-2001 -35.91 -4.2%
MRK Long 14-05-2001 22-05-2001 -26.93 -3.3%
MRK Long 05-06-2001 11-06-2001 -47.91 -6.0%
MRK Long 18-06-2001 22-06-2001 -56.54 -7.6%
MRK Long 18-07-2001 24-07-2001 -41.68 -6.0%
MSFT Long 05-01-2001 01-02-2001 214.40 21.4%
MSFT Long 01-03-2001 09-03-2001 -77.17 -6.4%
MSFT Long 23-03-2001 04-04-2001 -117.67 -10.3%
MSFT Long 05-04-2001 14-05-2001 188.08 18.4%
MSFT Long 22-05-2001 14-06-2001 -25.68 -2.1%
MSFT Long 27-06-2001 05-07-2001 -61.31 -5.2%
MSFT Long 12-07-2001 20-07-2001 -77.73 -6.9%
PG Long 21-12-2000 03-01-2001 -31.25 -3.1%
PG Long 05-01-2001 12-01-2001 -70.65 -7.3%
PG Long 31-01-2001 22-02-2001 19.09 2.1%
PG Long 27-04-2001 21-05-2001 60.12 6.6%
PG Long 12-06-2001 15-06-2001 -44.14 -4.5%
PG Long 26-06-2001 23-07-2001 36.88 4.0%
SBC Long 03-01-2001 16-01-2001 -50.73 -5.1%
SBC Long 01-02-2001 09-02-2001 -75.96 -8.0%
SBC Long 20-02-2001 28-02-2001 -28.03 -3.2%
SBC Long 27-03-2001 11-04-2001 -66.70 -7.9%
SBC Long 17-04-2001 20-04-2001 -69.52 -8.9%
SBC Long 01-05-2001 24-05-2001 -14.95 -2.1%
SBC Long 29-05-2001 07-06-2001 -44.36 -6.4%
SBC Long 02-07-2001 23-07-2001 17.64 2.7%
SBC Long 25-07-2001 03-08-2001 -11.69 -1.8%
T Long 05-12-2000 18-12-2000 -2.09 -0.2%
T Long 03-01-2001 29-01-2001 106.45 10.7%
T Long 05-02-2001 09-02-2001 -94.68 -8.6%
T Long 27-02-2001 01-03-2001 -65.53 -6.5%
T Long 02-03-2001 12-03-2001 -2.19 -0.2%
T Long 27-03-2001 02-04-2001 -92.26 -9.8%
T Long 12-04-2001 23-04-2001 -13.56 -1.6%
T Long 07-05-2001 10-05-2001 -60.78 -7.3%
T Long 16-05-2001 22-05-2001 -55.29 -7.1%
T Long 28-06-2001 24-07-2001 139.36 19.4%
UTX Long 29-11-2000 11-12-2000 29.14 2.9%
UTX Long 18-12-2000 02-01-2001 4.79 0.5%
UTX Long 25-01-2001 23-02-2001 -0.28 -0.0%
UTX Long 13-03-2001 14-03-2001 -62.28 -6.0%
UTX Long 05-04-2001 25-05-2001 90.66 9.3%
UTX Long 07-06-2001 11-06-2001 -59.39 -5.6%
UTX Long 12-07-2001 24-07-2001 -22.73 -2.3%
WMT Long 14-12-2000 19-12-2000 -84.22 -8.4%
WMT Long 21-12-2000 09-01-2001 -0.66 -0.1%
WMT Long 12-01-2001 19-01-2001 -44.83 -4.9%
WMT Long 23-01-2001 09-02-2001 -52.00 -6.0%
WMT Long 13-02-2001 21-02-2001 -65.66 -8.0%
WMT Long 08-03-2001 12-03-2001 -52.69 -7.0%
WMT Long 26-03-2001 12-04-2001 -25.87 -3.7%
WMT Long 18-04-2001 15-05-2001 -16.89 -2.5%
WMT Long 21-05-2001 04-06-2001 -40.34 -6.1%
WMT Long 02-07-2001 06-07-2001 -38.94 -6.3%
WMT Open Long 12-07-2001 03-08-2001 -53.34 -9.2%
XOM Long 04-12-2000 06-12-2000 -68.51 -6.9%
XOM Long 26-12-2000 04-01-2001 -68.19 -7.3%
XOM Long 31-01-2001 14-02-2001 -16.57 -1.9%
XOM Long 16-02-2001 28-02-2001 -45.02 -5.3%
XOM Long 05-03-2001 13-03-2001 -22.19 -2.8%
XOM Long 05-04-2001 02-05-2001 42.22 5.4%
XOM Long 30-05-2001 18-06-2001 -21.16 -2.6%
XOM Long 20-07-2001 23-07-2001 -36.39 -4.5%
Best regards,
Tomasz Janeczko
===============
AmiBroker - the comprehensive share manager.
http://www.amibroker.com
----- Original Message -----
From: "Stephane Carrasset" <nenapacwanfr@xxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Saturday, November 03, 2001 1:03 AM
Subject: [amibroker] what a strange results in backtest
>
> Hi, Tz,
>
> I have got a strange results when testing with N last quotations and
> I have had a negative profit neg by billions...
> It occurs when I have tested with a number of bars > numbers of bars
> in the stock( for example test on 500 bars and some stocks have only
> 200 or 300 bars.
>
> I have used
> a basic system with sellprice on stoploss
> ****************************
>
> N=Cross(C,MA(C,20));
> Np=ValueWhen(N,Close,1);
>
> /****************Loss Stop********************/
>
> Slp= Ref(L,-1)-MA(ATR(1),10);
> Slp= HighestSince(N,Slp,1);
> Sl= L<Slp AND BarsSince(N)!=0 ;
> Stop= Sl and Ref(Sl,-1)==0;
> /***********Graph***************/
>
> Xb= ExRem(Stop,N);
>
> /**************Define Stops Price*********/
>
> Slp=IIf(Xb,IIf(O<= Slp ,O,
> IIf(L< Slp, Slp ,0)),0);
> Xp=ValueWhen(Xb,Slp);
>
>
> /*************Buy& Sell Signals*****************/
> Buy=N;
> Sell= Xb ;
> BuyPrice= Np;
> SellPrice= Xp;
>
> *******************************
>
>
>
> 12074 Out 11/11/99 10/01/00 0.00 0.0%
> 12074 Long (stop) 10/01/00 11/01/00 -
> 1516300307610.03 -15163003076.1%
> 12074 Out 11/01/00 17/01/00 0.00 0.0%
> 12074 Long (stop) 17/01/00 18/01/00
> 221843502827296460000.00 -14630578334.4%
> 12074 Out 18/01/00 25/04/00 0.00 0.0%
>
>
>
>
>
> Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
>
>
>
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