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I'd no sooner hit the 'send' button, than I found the error.
Incorrect use of 'Activate Stops Immediately' with ApplyStop() when
trading at the same day Close. (See Herman's explanation msg. 34608).
Steve
--- In amibroker@xxxxxxxxxxxxxxx, "steve_almond" <steve_almond@xxxx>
wrote:
> In continuing to read and learn from back posts to this group, I've
> reached "Fred's Watered Down Semi-Interesting System got
> Interesting", Herman ran Fred's system (and Herman's modification)
> with and without stops applied (4 runs in total):
>
> http://groups.yahoo.com/group/amibroker/message/34463?threaded=1
>
> I can reproduce the two runs without stops, but fail miserably to
> equal the returns when I attempt the backtests with stops. Here is
> the code for Herman's modification, with stops:
>
> SetTradeDelays(0,0,0,0);
> BuyPrice= Close;
> SellPrice = Close;
> CoverPrice = Close;
> ShortPrice = Close;
>
> Length = 3;//Optimize("RSILen", 0, 2, 6, 1);
> LELevelOBS = 30;//Optimize("OBSLE", 0, 0, 50, 1);
> LELevelMom = 67;//Optimize("MomLE", 0, 0, 100, 1);
> LXLevelOBS = 91;//Optimize("OBSLX", 0, 50, 100, 1);
> LXLevelMom = 12;//Optimize("MomLX", 0, 0, 100, 1);
> SELevelOBS = 84;//Optimize("OBSSE", 0, 50, 100, 1);
> SELevelMom = 24;//Optimize("MomSE", 0, 0, 100, 1);
> SXLevelOBS = 5;//Optimize("OBSSX", 0, 0, 50, 1);
> SXLevelMom = 65;//Optimize("MomSX", 0, 0, 100, 1);
> Price = Foreign("!NDX","C");
> RSIx = RSIa(Price, Length);
> RSIxHHV = HHV(RSIx, Length);
> RSIxLLV = LLV(RSIx, Length);
> StoRSIx = 100 * Sum((RSIx - RSIxLLV), Length) / Sum((RSIxHHV -
> RSIxLLV), Length);
> Buy1 = Cross(LELevelOBS, StoRSIx) OR Cross(StoRSIx, LELevelMom);
> Short1 = Cross(StoRSIx, SELevelOBS) OR Cross(SELevelMom,
StoRSIx);
> Sell = (Cross(StoRSIx, LXLevelOBS) OR Cross(LXLevelMom, StoRSIx))
OR
> Short1;
> Short=Sell;
> Cover = (Cross(SXLevelOBS, StoRSIx) OR Cross(StoRSIx, SXLevelMom))
OR
> Buy1;
> Buy = Cover;
> E = Equity(1);
> Plot(E,"BasicEquity",1,1);
>
> LPos = Ref(Flip(Buy,Sell),-1);
> SPos = Ref(Flip(Short,Cover),-1);
> LPT = 7; //Optimize("LProfitTarget",8,0,10,.1);
> SPT = 2.4; //Optimize("SProfitTarget",9,0,10,.1);
> PT = IIf(LPos,LPT,IIf(SPos,SPT,0));
> ApplyStop(1,1,PT,1);
> E=Equity(1);
> Plot(E,"StopEquity",4,1);
>
>
> Can anyone suggest some setting which I may have wrong? Do
> the 'Stops' settings remain diabled?
>
> Thanks,
>
> Steve
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