Re: [amibroker] Percent Profit Trailing Stop Question

["E Winters" <e.winters1@xxxxxxxxxxx>]

Herman,
This problem occurs in other backtesting platforms 
such as Tradestation.  When you activate intra-day stops on EOD data you 
are setting up a testable, but unrealistic scenario.  Since the 
software has no way of knowing the sequence of prices during the day it has to 
assume that when a stop is activated due to a price being hit, that it is 
valid.  The better (proper) way of testing this would be to use 
intra-day data with intra-day stops.  Another way might be to use "mixed" 
mode, but I have not tried this.
Regards,
Ed
<BLOCKQUOTE dir=ltr 
>
  ----- Original Message ----- 
  <DIV 
  >From: 
  Herman van den 
  Bergen 
  To: <A title=amibroker@xxxxxxxxxxxxxxx 
  href="">amibroker@xxxxxxxxxxxxxxx 
  Sent: Wednesday, June 30, 2004 8:11 
  AM
  Subject: RE: [amibroker] Percent Profit 
  Trailing Stop Question
  
  <SPAN 
  class=500335011-30062004>Ed/DT, the QQQ (all quotations) gives 
  me about 500%, why? See reports attached.
  
  
  
  <SPAN 
  class=500335011-30062004>Net Profit % 500.28 % 286.54 % 213.74 % 
  Exposure % 8.71 % 4.28 % 4.43 % <FONT 
  face=Arial color=#0000ff size=2><SPAN 
  class=500335011-30062004>
  <SPAN 
  class=500335011-30062004>Settings:  Initial Equity: 1000  
  Periodicity/Positions: Daily/Long Short  Commissions: 0.01 per 
  share  <SPAN 
  class=500335011-30062004><IMG alt="" hspace=0 
  src="jpg00079.jpg" align=baseline 
  border=0>
  <SPAN 
  class=500335011-30062004> 
  <SPAN 
  class=500335011-30062004>herman<FONT face=Arial 
  color=#0000ff size=2>
   
  
    <FONT face=Tahoma 
    size=2>-----Original Message-----From: E Winters 
    [mailto:e.winters1@xxxxxxxxxxx]Sent: Tuesday, June 29, 2004 10:10 
    PMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re: 
    [amibroker] Percent Profit Trailing Stop QuestionImportance: 
    High
    On QQQ I get -79.45% profit,  What 
    issue(s) are you using over what time period?
    Regards,
    Ed
    <BLOCKQUOTE 
    >
      ----- Original Message ----- 
      <DIV 
      >From: 
      Herman van den 
      Bergen 
      To: <A 
      title=amibroker@xxxxxxxxxxxxxxx 
      href="">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?
      <SPAN 
      class=218090701-30062004> 
      // In AA 
      settings Use percent profit trailing stop of 10%
      // Trade Long 
      and Short at the 
      OpenSetOption("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);
      <SPAN 
      class=218090701-30062004> 
      <SPAN 
      class=218090701-30062004>TIA,
      <SPAN 
      class=218090701-30062004>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 Sponsor


  ADVERTISEMENT 












Yahoo! Groups Links
To visit your group on the web, go to:http://groups.yahoo.com/group/amibroker/ 
To unsubscribe from this group, send an email to:amibroker-unsubscribe@xxxxxxxxxxxxxxx 
Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.

Attachment: Description: ""