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You're right, Dingo. If you comment out the activate stops line, the
obscene profits die. In real trading, you would indeed activate your stops
immediately, but in backtesting, you cannot, using EOD data, since AB can't
know when the stop was hit relative to the entry time. Thanks for pointing
the stops line out.
Al V.
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
dingo
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Wednesday, June 30, 2004 9:39
AM
Subject: RE: [amibroker] Re: Percent
Profit Trailing Stop Question
<FONT face=Arial
color=#0000ff size=2>I think its this setting: <FONT face="Courier New"
color=#000000
size=3>SetOption("ActivateStopsImmediately",True);
<FONT face=Arial
color=#0000ff size=2>and Al explained it: "<FONT face="Times New Roman"
color=#000000 size=3>AB has no way of knowing which occurred first, the high
or the low"
<FONT face=Arial
color=#0000ff size=2>Take one trade and see if the above is not
true.
<FONT face=Arial
color=#0000ff size=2>
<FONT face=Arial
color=#0000ff size=2>d
<BLOCKQUOTE dir=ltr
>
From: Herman van den Bergen
[mailto:psytek@xxxxxxxx] Sent: Wednesday, June 30, 2004 9:13
AMTo: <A
href="">amibroker@xxxxxxxxxxxxxxxSubject:
RE: [amibroker] Re: Percent Profit Trailing Stop
Question
<FONT face=Arial color=#0000ff
size=2>Using the profit trailing stop we enter on the trading system but
exit on the stop. Since the system (i picked it for illustration only) gives
only occassional signals exposure is thus very low: we are never more
than one bar in the trade. That part looks alright to me. However the
profits are unreal. telling me there is something wrong but i can't figure
out what. I am using AB 4.57.0
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>herman.
<FONT face=Tahoma
size=2>-----Original Message-----From: DIMITRIS TSOKAKIS
[mailto:TSOKAKIS@xxxxxxxxx]Sent: Wednesday, June 30, 2004 8:46
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker]
Re: Percent Profit Trailing Stop
QuestionHerman,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@xxxx]> 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:<A
href="">http://www.amibroker.com/Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Check AmiBroker web page at:<A
href="">http://www.amibroker.com/Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Check AmiBroker web page
at:<A
href="">http://www.amibroker.com/Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Check AmiBroker web page at:
http://www.amibroker.com/
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
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