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I'm trying to write a system that sells if the price falls below what I
bought at, or
"some other condition". I've attached the full details of my setup but in
short it is:
Buy=<condition>;
BuyPrice=O;
Sell = <condition>;
SellPrice=O;
Buy=ExRem(Buy,Sell);
Sell=ExRem(Sell,Buy);
ApplyStop(0, 2, 1, 1);
ApplyStop(2, 2, 1, 1);
What I'm *trying* to achieve with the ApplyStop's is to exit as soon as the
price
falls below my entry price .. I believe they should be applied as soon as
the stop falls
1 point below my purchase price, according to my reading of the manual
(which is
clearly wrong). I've used Sell & SellPrice to exit on my other condition.
I have set "apply stops immediately" and "allow same day entry & exit" in
the settings
and I'm using the latest Beta download, but I cannot get it to work. In
particular there
are a few trades where I enter on Open, the day goes lower immediately and
stays
lower, but I don't exit until the next day ... I thought the ApplyStop would
get me out?
Any help would be much appreciated.
Regards,
Matt Atterbury (mailto:matt@xxxxxxxxxx)
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Title: AmiBroker System Test Report
Settings
Initial Equity:
100000
Periodicity/Positions:
Daily/Long
Commissions:
0.00 (Use portfolio settings)
Annual interest rate:
0.00%
Range:
6/02/2002 00:00:00 - 9/03/2003
Apply to:
Current Symbol
Margin requirement:
100
Futures mode:
No
Def. round lot size:
1
Def. Tick Size
1
Drawdowns based on:
High/Low prices
Long trades
Buy price:
Open
Sell price:
Close
Buy delay:
0
Sell delay:
0
Short trades
Short price:
Close
Cover price:
Close
Short delay:
0
Cover delay:
0
Stops
Maximum loss:
disabled
Profit target:
disabled
Value:
1.00
Value:
0.00
Exit at stop?
yes
Exit at stop?
no
Trailing stop:
disabled
Value:
0.00
Exit at stop?
no
Formulaperiods=250;
Odji=Ref(Foreign("$DJ","Open"),-1);
Cdji=Ref(Foreign("$DJ","Close"),-1);
deltaDJI=IIf(Cdji<Odji,-1,IIf(Cdji>Odji,1,0));
Oxxx=O;
Cxxx=C;
deltaXXX=IIf(Cxxx<Oxxx,-1,IIf(Cxxx>Oxxx,1,0));
Corr=IIf(deltaXXX == deltaDJI, 1, 0);
AvgCorr=MA(Corr,periods);
isCorrelated=(Avgcorr > 0.5);
isBuySignalled=(deltaDJI > 0);
Buy=isCorrelated AND isBuySignalled;
BuyPrice=O;
isSellSignalled=(deltaDJI < 0);
Sell = isSellSignalled;
SellPrice=O;
Buy=ExRem(Buy,Sell);
Sell=ExRem(Sell,Buy);
ApplyStop(0, 2, 1, 1);
ApplyStop(2, 2, 1, 1);
Overall performance summary
Total net profit:
17503.46
Total commissions paid:
0.00
Return on account:
17.50 %
Open position gain/loss
0.00
Buy&Hold profit:
-19082.90
Bars (avg. days) in test:
275 (395)
Buy&Hold % return:
-19.08%
System to Buy&Hold index:
191.72%
Annual system % return:
16.07%
Annual B&H % return:
-17.77%
System drawdown:
-5785.04
B&H drawdown:
-24385.84
Max. system drawdown:
-14251.65
B&H max. drawdown:
-31137.87
Max. system % drawdown:
-11.31%
B&H max. % drawdown:
-29.17%
Max. trade drawdown:
-7479.33
Max. trade % drawdown:
-7.21%
Trade drawdown:
-6638.24
Total number of trades:
71
Percent profitable:
47.9%
Number winning trades:
34
Number losing trades:
37
Profit of winners:
87452.12
Loss of losers:
-69948.66
Total # of bars in winners:
104
Total # of bars in losers:
91
Commissions paid in winners:
0.00
Commissions paid in losers:
0.00
Largest winning trade:
6603.80
Largest losing trade:
-6349.59
# of bars in largest winner:
5
# bars in largest loser:
2
Commission paid in largest winner:
0.00
Commission paid in largest loser:
0.00
Average winning trade:
2572.12
Average losing trade:
-1890.50
Avg. # of bars in winners:
3.1
Avg. # bars in losers:
2.5
Avg. commission paid in winner:
0.00
Avg. commission paid in loser:
0.00
Max consec. winners:
5
Max consec. losers:
6
Bars out of the market:
81
Interest earned:
0.00
Exposure:
70.5%
Risk adjusted ann. return:
22.78%
Ratio avg win/avg loss:
1.36
Avg. trade (win & loss):
246.53
Profit factor:
1.25
Performance for BHP
Total net profit:
17503.46
Total commissions paid:
0.00
Return on account:
17.50 %
Open position gain/loss
0.00
Buy&Hold profit:
-19082.90
Bars (days) in test:
275 (395)
Buy&Hold % return:
-19.08%
System to Buy&Hold index:
191.72%
Annual system % return:
16.07%
Annual B&H % return:
-17.77%
System drawdown:
-5785.04
B&H drawdown:
-24385.84
Max. system drawdown:
-14251.65
B&H max. drawdown:
-31137.87
Max. system % drawdown:
-11.31%
B&H max. % drawdown:
-29.17%
Max. trade drawdown:
-7479.33
Max. trade % drawdown:
-7.21%
Trade drawdown:
-6638.24
Total number of trades:
71
Percent profitable:
47.9%
Number winning trades:
34
Number losing trades:
37
Profit of winners:
87452.12
Loss of losers:
-69948.66
Total # of bars in winners:
104
Total # of bars in losers:
91
Commissions paid in winners:
0.00
Commissions paid in losers:
0.00
Largest winning trade:
6603.80
Largest losing trade:
-6349.59
# of bars in largest winner:
5
# bars in largest loser:
2
Commission paid in largest winner:
0.00
Commission paid in largest loser:
0.00
Average winning trade:
2572.12
Average losing trade:
-1890.50
Avg. # of bars in winners:
3.1
Avg. # bars in losers:
2.5
Avg. commission paid in winner:
0.00
Avg. commission paid in loser:
0.00
Max consec. winners:
5
Max consec. losers:
6
Bars out of the market:
81
Interest earned:
0.00
Exposure:
70.5%
Risk adjusted ann. return:
22.78%
Ratio avg win/avg loss:
1.36
Avg. trade (win & loss):
246.53
Profit factor:
1.25
Trade list for BHP
Trade
Entry date
Entry price
Exit date
Exit price
Position size
Net Profit
Equity value
Long
11/02/2002
10.97
13/02/2002
11.26
99989.14
2640.26
102640.26
Long
14/02/2002
11.54
18/02/2002
11.05
102633.10
-4404.51
98235.75
Long
21/02/2002
10.89
22/02/2002
10.83
98231.59
-505.91
97729.84
Long
25/02/2002
10.80
27/02/2002
11.08
97723.10
2538.27
100268.11
Long
28/02/2002
11.06
1/03/2002
10.97
100258.03
-847.50
99420.61
Long
4/03/2002
10.95
6/03/2002
11.11
99418.64
1536.84
100957.45
Long
7/03/2002
11.23
8/03/2002
11.33
100952.71
916.23
101873.68
Long
11/03/2002
11.27
14/03/2002
10.89
101869.05
-3463.21
98410.47
Long
15/03/2002
10.69
19/03/2002
10.80
98407.22
946.22
99356.69
Long
20/03/2002
11.00
21/03/2002
10.80
99353.45
-1857.08
97499.61
Long
27/03/2002
10.46
2/04/2002
10.84
97491.04
3572.06
101071.67
Long
5/04/2002
10.88
9/04/2002
11.03
101063.40
1389.19
102460.86
Long
11/04/2002
11.16
12/04/2002
10.47
102451.51
-6349.59
96111.27
Long
15/04/2002
10.74
16/04/2002
10.89
96109.14
1338.34
97449.61
Long
17/04/2002
10.93
18/04/2002
10.90
97443.30
-250.07
97199.55
Long
22/04/2002
10.81
23/04/2002
10.70
97191.76
-924.84
96274.70
Long
1/05/2002
10.05
6/05/2002
10.26
96270.38
2059.74
98334.44
Long
8/05/2002
10.24
10/05/2002
10.56
98327.59
3142.89
101477.33
Long
14/05/2002
10.43
16/05/2002
10.73
101475.65
2909.69
104387.02
Long
17/05/2002
10.87
21/05/2002
10.68
104379.42
-1795.01
102592.01
Long
23/05/2002
10.37
27/05/2002
10.37
102591.16
0.00
102592.01
Long
3/06/2002
10.05
4/06/2002
9.95
102591.26
-1049.77
101542.24
Long
6/06/2002
9.82
7/06/2002
9.66
101540.31
-1643.99
99898.25
Long
13/06/2002
9.70
14/06/2002
9.86
99894.69
1636.04
101534.29
Long
18/06/2002
9.89
20/06/2002
9.68
101532.63
-2207.23
99327.06
Long
25/06/2002
9.40
26/06/2002
9.50
99325.98
987.34
100314.39
Long
27/06/2002
9.47
1/07/2002
9.79
100310.67
3366.79
103681.19
Long
4/07/2002
10.02
9/07/2002
10.50
103676.94
4966.56
108647.74
Long
18/07/2002
9.52
19/07/2002
9.93
108642.25
4678.92
113326.66
Long
25/07/2002
9.59
31/07/2002
9.55
113325.03
-472.68
112853.98
Long
1/08/2002
9.52
2/08/2002
9.04
112850.09
-5689.93
107164.06
Long
7/08/2002
8.60
13/08/2002
9.13
107156.00
6603.80
113767.85
Long
15/08/2002
8.95
19/08/2002
8.96
113763.45
127.11
113894.97
Long
20/08/2002
9.30
21/08/2002
9.26
113887.80
-489.84
113405.13
Long
22/08/2002
9.52
26/08/2002
9.45
113402.25
-833.85
112571.28
Long
27/08/2002
9.53
28/08/2002
9.54
112568.36
118.12
112689.40
Long
5/09/2002
8.94
6/09/2002
8.80
112688.69
-1764.69
110924.71
Long
9/09/2002
9.03
12/09/2002
9.43
110924.52
4913.61
115838.32
Long
17/09/2002
9.47
18/09/2002
9.38
115837.04
-1100.88
114737.43
Long
23/09/2002
9.05
24/09/2002
8.91
114735.90
-1774.92
112962.51
Long
26/09/2002
8.90
30/09/2002
9.14
112958.80
3046.09
116008.60
Long
2/10/2002
9.50
3/10/2002
9.39
116004.50
-1343.21
114665.39
Long
9/10/2002
9.19
10/10/2002
8.83
114663.62
-4491.72
110173.68
Long
11/10/2002
9.16
17/10/2002
9.64
110167.32
5772.97
115946.64
Long
18/10/2002
9.95
23/10/2002
9.73
115937.40
-2563.44
113383.20
Long
24/10/2002
9.89
25/10/2002
9.72
113378.96
-1948.88
111434.32
Long
28/10/2002
9.58
29/10/2002
9.67
111424.98
1046.79
112481.11
Long
30/10/2002
9.46
1/11/2002
9.58
112479.40
1426.80
113907.91
Long
4/11/2002
9.54
8/11/2002
9.71
113907.60
2029.80
115937.71
Long
13/11/2002
9.51
19/11/2002
9.74
115936.41
2803.92
118741.63
Long
21/11/2002
9.79
25/11/2002
9.94
118733.12
1819.20
120560.83
Long
26/11/2002
9.85
27/11/2002
9.52
120554.15
-4038.87
116521.96
Long
28/11/2002
9.73
2/12/2002
10.25
116516.74
6227.01
122748.97
Long
5/12/2002
10.10
6/12/2002
10.05
122745.30
-607.65
122141.31
Long
9/12/2002
10.11
10/12/2002
9.90
122138.91
-2537.01
119604.30
Long
11/12/2002
9.89
13/12/2002
9.68
119599.77
-2539.53
117064.77
Long
17/12/2002
9.75
18/12/2002
10.01
117058.50
3121.56
120186.34
Long
23/12/2002
9.92
24/12/2002
10.08
120180.80
1938.40
122124.73
Long
31/12/2002
10.05
6/01/2003
10.00
122117.55
-607.55
121517.18
Long
7/01/2003
10.03
8/01/2003
10.00
121513.45
-363.45
121153.73
Long
10/01/2003
9.92
14/01/2003
9.79
121152.96
-1587.69
119566.04
Long
15/01/2003
9.87
16/01/2003
9.78
119565.18
-1090.26
118475.78
Long
24/01/2003
9.35
28/01/2003
9.10
118473.85
-3167.75
115308.03
Long
29/01/2003
9.10
31/01/2003
8.91
115306.10
-2407.50
112900.53
Long
3/02/2003
8.92
5/02/2003
9.10
112900.44
2278.26
115178.80
Long
11/02/2003
9.31
12/02/2003
9.21
115174.02
-1237.10
113941.69
Long
17/02/2003
9.10
20/02/2003
9.32
113941.10
2754.61
116696.31
Long
24/02/2003
9.18
25/02/2003
9.39
116696.16
2669.52
119365.83
Long
26/02/2003
9.29
27/02/2003
9.29
119357.92
0.00
119365.83
Long
28/02/2003
9.24
4/03/2003
9.25
119362.32
129.18
119495.01
Long
6/03/2003
9.00
7/03/2003
8.85
119493.00
-1991.54
117503.46
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