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I only
had a few minutes to look at your code, but is it possible that you have set
your preferences such that you will only trade 100 shares? Then, you
may not have enough available cash to buy some stocks. So, it
skips those stocks until it finds one or more that it can buy at least 100
shares.
<FONT face=Arial color=#0000ff
size=2>
Sound
possible?
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: Keith Osborne
[mailto:traderkeith2000@xxxxxxxxxxxx]Sent: Wednesday, January 07,
2004 12:56 AMTo: amibroker@xxxxxxxxxxxxxxxSubject:
[amibroker] Portfolio Backtester & Watchlist - Help
required
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 ; <FONT color=#008000
size=1>// Multiple of ATR for position sizing calcs //<FONT
size=1>
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
//
// SYSTEM AREA //
trailstopamount = <FONT
color=#ff00ff size=1>2*<FONT color=#0000ff
size=1>ATR(<FONT color=#ff00ff
size=1>10); // The stop
used is a trailing stop defined as a multiple of ATR(10) //<FONT
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@xxxxxxxxxxxxxSend SUGGESTIONS to
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