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Hi, can anyone help me
with the following code. It is a simple system I coded to understand how the
backtester works.
The postion sizing and
the trailing stop portions work fine but when I run this code against the
backtester using a watchlist of some 50 stocks then it does not pick up the 5th,
6th, 8th and 10th stocks in the watchlist and create a long position.
<SPAN
class=363443701-07012004>The question I have is "does the backtester evaluate
each stock in the order of the watchlist", if so why does it miss some stocks
and pick the next one?
<SPAN
class=363443701-07012004>TIA....Keith
<SPAN
class=363443701-07012004>
<SPAN
class=363443701-07012004>Code......................
Eqty = <FONT color=#ff00ff
size=1>50000<FONT
face=Arial>;
Max_Trade = <FONT
color=#ff00ff size=1>0.1*Eqty; <FONT color=#008000
size=1>// 10% of Equity per trade //
Max_Risk = <FONT
color=#ff00ff size=1>0.01*Eqty; <FONT color=#008000
size=1>// 1% of Equity at risk on each trade //
ATR_risk =<FONT color=#ff00ff
size=1>2 ; // Multiple of
ATR for position sizing calcs //
PosSize2 = Max_Risk/(ATR_risk*<FONT
face=Arial>ATR(<FONT
color=#ff00ff size=1>10)); <FONT color=#008000
size=1>// No. of Shares based upon risk and ATR //<FONT
size=1>
PositionSize =
IIf<FONT
size=1>(PosSize2>=Max_trade, Max_trade,possize2); <FONT color=#008000
size=1>// Positon sizing based upon equity or risk limits //<FONT
size=1>
// SYSTEM AREA //
trailstopamount = <FONT
color=#ff00ff size=1>2*<FONT color=#0000ff
size=1>ATR(10<FONT
size=1>); // The stop used is a trailing stop
defined as a multiple of ATR(10) //<FONT
face=Arial color=#008000 size=1>
// The system is very simple...
Buy =
C><FONT color=#ff00ff
size=1>0;
Sell = C<<FONT
color=#ff00ff size=1>0;<FONT color=#0000ff
size=1>
ApplyStop<FONT
size=1>(2,<FONT
color=#ff00ff size=1>2<FONT
size=1>,trailstopamount,True,True);<FONT
face=Arial color=#008000 size=1>
//PositionScore = 100-RSI(); // Prefer stocks that have low
RSI;
AddColumn<FONT
size=1>(PositionSize,"Pos
Size",1.0<FONT
size=1>);
//AddColumn(PositionScore,"Pos Score",1.2);<FONT color=#0000ff
size=1>
AddColumn<FONT
size=1>(posSize2,"POSsize2"<FONT
size=1>,1.0<FONT
size=1>);
AddColumn<FONT
size=1>(ATR(<FONT
color=#ff00ff size=1>10),<FONT color=#ff00ff
size=1>"ATR",<FONT color=#ff00ff
size=1>1.4);
AddColumn<FONT
size=1>(trailstopamount,"Trail
Stop",1.4<FONT
size=1>);
AddColumn<FONT
size=1>(C,"Price"<FONT
size=1>,1.2<FONT
size=1>);
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
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