[amibroker] Why do Stops worsen Rotational results

["john gibb" <jgibb1@xxxxxxxxxxxxx>]

Hi,

I am experimenting with Rotational trading using Andrew's code below--both
with and without Loss and Trailing stops. (Long and Short, on a watchlist of
about 2000 stocks, from 3/1/1998 to 3/1/2003.)

Is there a simple reason why the profit drops from:

               All trades  Long trades    Short trades
Net Profit %   396.05 %    425.55 %       -29.50 %


with the ApplyStops commented out to:

               All trades  Long trades    Short trades
Net Profit %   -50.56 %    -46.34 %       -4.23 %

with the ApplyStops uncommented?

<clip>

EnableRotationalTrading();
RS = ROC(Close, 120);
Av = EMA(Close, 28);
NotExit = Close > Av;
PositionScore = rs * NotExit; //will set score to zero if Close <AV
PositionSize = -20;
SetTradeDelays(1,1,1,1);
SetOption("worstrankheld",8);
SetOption("maxopenpositions",5);
ApplyStop(stopTypeLoss, stopModePercent, 20, True, False, 10 );
ApplyStop(stopTypeTrailing, stopModePercent, 30, True, False, 10 );

<clip>

thanks

-john




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