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No problem ... I thought it might provide a fast path for you. Keep
in mind when exporting available numbers even for each trade from AB
that this does NOT allow for showing true drawdowns.
I am curious if the methodology of limiting position sizes to fixed
dollar amounts is something you actually do. The construct of
PositionSize = Percent as opposed to DollarAmount is also a feature
in AB which for those who trade portfolios of stocks is one I
understand. What I don't follow about using PositionSize =
DollarAmount is for example once your portfolio eventually doubles in
size you'll only be trading 50% of it won't you ?
Another AB proviso here is that it doesn't seem to limit the number
of simultaneous trades one can make regardless of how one sizes
PositionSize relative to InitialEquity. By that I mean if I have 10
tradable things in my group and I specify that PositionSize = 50% of
equity, it will still allow me to have 10 open positions, same thing
if I specify my initial equity is $500k and PositionSize = $250K.
Again neither of these conditions is realistic.
--- In amibroker@xxxxxxxxxxxxxxx, "phsst" <phsst@xxxx> wrote:
> > So how does your "grail" system look with the portfolio equity
curve
> > indicator ?
>
> Fred,
>
> I don't want you to take this the wrong way but I am currently
> spending my time and effort in developing an 'equity curve' / 'mkt
> risk exposure' measurement from exported *.csv backtest trade files.
>
> ie. I am going at this measurement from the 'back door' and think
that
> I am on the right track to eliminate the manual efforts I've spent
in
> the past.
>
> Eventually, I'll get the chance to use your 'Equity Curve Indicator'
> and will let you know what the results are.
>
> Regards,
>
> Phsst
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> > Phsst,
> >
> > So how does your "grail" system look with the portfolio equity
curve
> > indicator ?
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "phsst" <phsst@xxxx> wrote:
> > > > Phsst,
> > > > something to consider.... -.50 is a much different number
on a
> > > $100 stock
> > > > than it is on a $10 stock
> > >
> > > Yes I know. For illustration purposes only.
> > >
> > > Phsst
> > >
> > > >
> > > > Jayson
> > > > -----Original Message-----
> > > > From: phsst [mailto:phsst@x...]
> > > > Sent: Friday, April 11, 2003 12:28 PM
> > > > To: amibroker@xxxxxxxxxxxxxxx
> > > > Subject: [amibroker] Re: Trailing Stops
> > > >
> > > >
> > > > This sample is unique to my own trading systems but you
should be
> > able
> > > > to manipulate this code as needed. The trailing Stop is set at
> > > > previous days close minus 0.50, and if the stock Opens below
that
> > > > figure then it takes you out of the trade at the Open price.
And
> > this
> > > > particular trading system does not set a Stop Loss on the day
> > that a
> > > > position is entered.
> > > >
> > > > Just my way of doing it.
> > > >
> > > > Good luck... Phsst
> > > >
> > > >
> > > >
> > > > SetTradeDelays(1,0,0,0); // Affects Back Test (not Scan or
> > Explore)
> > > >
> > > > Buy = <buy condition>
> > > >
> > > > LongBars = BarsSince(Buy==0); // Used to prevent S/L on 1st
day
> > > >
> > > > SellPrice = IIf(LongBars == 2,0,Ref(L - .50,-1)); // No S/L
1st
> > Day
> > > > -(2 needed for SetTradeDelays)
> > > >
> > > > PrevSellPrice = IIf(SellPrice == 0,0,Ref(L - .50,-1)); //
> > Trailing
> > > >
> > > > SellPrice = Max
(SellPrice,PrevSellPrice); //
> > Stop
> > > >
> > > > SellPrice = Min
(SellPrice,O); //
> > Loss
> > > >
> > > > Sell = L <= SellPrice;
> > > >
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx, "Tony/Dianne" <awenos@xxxx>
> > wrote:
> > > > > Hello,
> > > > >
> > > > > For the past several days, I have been trying to code a
Trailing
> > > > Stop without success.
> > > > >
> > > > > I'm using both AFL and VB Script.
> > > > >
> > > > > My problem is that I always seem to end up with a circular
> > reference
> > > > problem which
> > > > > boils down to: I need a Trailing stop variable to define
the
> > Sell
> > > > condition and I need
> > > > > the Sell condition to define the Trailing stop variable.
> > > > >
> > > > > Can anyone give me advice/code sample to help?
> > > > >
> > > > > As an aside, I've looked at the ApplyStop function and it
does
> > not
> > > > seem to do what I
> > > > > am seeking .
> > > > >
> > > > > My goal is, for a long entry, to have an amount defined by
the
> > ATR
> > > > function, which is subtracted from
> > > > > the low creating the stop level. The stop level would then
> > trail up
> > > > only.
> > > > >
> > > > > Any help would be appreciated.
> > > > >
> > > > > Regards,
> > > > >
> > > > > Tony
> > > >
> > > >
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