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DT, the way you get the low exposure is to set your trailing stop in the
Stops tab of the Backtester Settings window to Percent of Profit radio
button and set it at 10. If you disable Trailing Stop, your exposure is
closer to what you get. I have reproduced the low exposures that Herman
reported.
AV
----- Original Message -----
From: "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Wednesday, June 30, 2004 8:46 AM
Subject: [amibroker] Re: Percent Profit Trailing Stop Question
> Herman,
> My results for the period 1/2000 till now [with your settings] give
> total net profit -79%.
> The exposure for this period is 81%.
> How did you come to exposure 8.71% ? It is not normal for this
> trading system.
> Dimitris Tsokakis
> --- In amibroker@xxxxxxxxxxxxxxx, "Herman van den Bergen"
> <psytek@xxxx> wrote:
> > Ed/DT, the QQQ (all quotations) gives me about 500%, why? See
> reports
> > attached.
> >
> > --------------------------------------------------------------------
> --------
> > ----
> >
> > Net Profit % 500.28 % 286.54 % 213.74 %
> > Exposure % 8.71 % 4.28 % 4.43 %
> >
> > Settings:
> > Initial Equity: 1000 Periodicity/Positions: Daily/Long Short
> Commissions:
> > 0.01 per share
> >
> >
> > herman
> >
> > -----Original Message-----
> > From: E Winters [mailto:e.winters1@x...]
> > Sent: Tuesday, June 29, 2004 10:10 PM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: Re: [amibroker] Percent Profit Trailing Stop Question
> > Importance: High
> >
> >
> > On QQQ I get -79.45% profit, What issue(s) are you using over
> what time
> > period?
> > Regards,
> > Ed
> > ----- Original Message -----
> > From: Herman van den Bergen
> > To: AmiBroker YahooGroups
> > Sent: Tuesday, June 29, 2004 9:09 PM
> > Subject: [amibroker] Percent Profit Trailing Stop Question
> >
> >
> > Can somebody explain why this gives unreal profits?
> >
> > // In AA settings Use percent profit trailing stop of 10%
> > // Trade Long and Short at the Open
> > SetOption("ActivateStopsImmediately",True);
> > SetTradeDelays(1,1,1,1);
> > Buy=Cross( MACD(), Signal() );
> > Sell = Cross( Signal(), MACD() );
> > Short = Sell;
> > Cover = Buy;
> > Plot(Equity(1),"Equity",1,1);
> >
> > TIA,
> > herman.
>
>
>
>
> Check AmiBroker web page at:
> http://www.amibroker.com/
>
> Check group FAQ at:
http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> Yahoo! Groups Links
>
>
>
>
>
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