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Hallo there Herman !
Thanks for the promt reply.
I am using the 15min chart and not EOD ( sorry I was a bit unclear :-
) thus It shows which came first, I can eaven test it Pip by PIP as I
have imported the pip data into AB ...
I think the trick might be in the trade cost, like you sugested, how
do you sugest I incorporate the Spread cost as this is how it is
paid, like on the EUR/USD pair the spread is 5 points !
Thanks once more for the reply !
Kind regards
Louw
--- In amibroker@xxxxxxxxxxxxxxx, "Herman van den Bergen"
<psytek@xxxx> wrote:
> In EOD (assume you use EOD) the profit stop cannot be use at the
same time
> as the Stop loss stop. How would you know which came first?
>
> Also, what settings did you use? I don't see any SetOptions() in
your
> code...
>
> Your Stops also appear very small, try setting commissions to
1ct/share - or
> whatever your vroker charges.
>
> best regards,
> herman.
> -----Original Message-----
> From: Louw-Roux Coetzer [mailto:lcoetzer@x...]
> Sent: Tuesday, July 06, 2004 12:56 PM
> To: AmiBroker Forum
> Subject: [amibroker] This can't be true, please help !!!
>
>
> Hi there all !
>
> Could somebody please confirm the following code for acuracy, the
results
> seem a bit to good to be true... the problem relates to my
previouse mail "
> Please Confirm this".
>
> Here is the code:
>
> targetpoints = Param("Target Profit",0.0050,0.0005,1,0.0001); //
profit
> target
> SL = Param("Stop Loss",0.01,0.0005,1,0.0001); // Stop Loss Level.
> TickSize=0.0001;
> NumContracts = 5;PointValue =10000;PositionSize = NumContracts *
> MarginDeposit;
>
> //==================================================================
========
> ===
> reEntryDelay = Param("Wait after first signal",4,1,50,1);
> triggerTime =Param("Trigger Time after Break-out",20,1,50,1);
> Lreq1 = BarsSince(H>BBandTop(C,21,2)) < triggertime;
> Sreq1 = BarsSince(L>BBandBot(C,21,2)) < triggertime;
> Lreq2 = Cross(EMA(C,62),C);
> Sreq2 = Cross(C,EMA(C,62));
> BuyPrice = ValueWhen(Lreq2,C);
> ShortPrice = ValueWhen(Sreq2,C);
> Short = Lreq1 AND Lreq2;
> Buy = sreq1 AND sreq2;
> Sell = TimeNum()==170000;
> Cover = TimeNum()==170000;
> ApplyStop( stopTypeProfit, stopModePoint, targetpoints,
> True,False,reEntrydelay );
> ApplyStop( stopTypeLoss, stopModePoint, SL, True );
>
> It basically looks for a break above or below the upper or lower
Bollinger
> Bands. Once a breach has been detected, it waits for a reversal
that
> crosses the 62 EMA into the opposite direction of the break-out.
It would
> then enter a trade into the particular direction. This is based on
the
> EUR/USD forex pair.
>
> The following results were obtained with the target profit set to
55
> points and the stoploss to 100.
>
> Wait until you see the equity curve !!! There must be something
not right
> here, please help...
>
> Kind regards and thanks in advance !!!
>
> Louw Coetzer
>
> --------------------------------------------------------------------
--------
> --
>
>
> Statistics
> All trades Long trades Short trades
> Initial capital 10000.00 10000.00 10000.00
> Ending capital 79059.81 51314.68 37745.13
> Net Profit 69059.81 41314.68 27745.13
> Net Profit % 690.60 % 413.15 % 277.45 %
> Exposure % 0.15 % 0.08 % 0.07 %
> Net Risk Adjusted Return % 456729.52 % 504416.08 %
400367.84 %
> Annual Return % 80.83 % 59.77 % 46.31 %
> Risk Adjusted Return % 53455.32 % 72968.74 % 66824.42 %
>
> --------------------------------------------------------------------
----
>
> All trades 2132 1113 (52.20 %) 1019 (47.80 %)
> Avg. Profit/Loss 32.39 37.12 27.23
> Avg. Profit/Loss % 0.06 % 0.07 % 0.05 %
> Avg. Bars Held 12.80 15.94 9.36
>
> --------------------------------------------------------------------
----
>
> Winners 946 (44.37 %) 500 (23.45 %) 446 (20.92 %)
> Total Profit 112044.78 68479.65 43565.13
> Avg. Profit 118.44 136.96 97.68
> Avg. Profit % 0.21 % 0.24 % 0.17 %
> Avg. Bars Held 17.56 20.30 14.49
> Max. Consecutive 6 6 9
> Largest win 4670.00 4670.00 280.00
> # bars in largest win 41 41 25
>
> --------------------------------------------------------------------
----
>
> Losers 1186 (55.63 %) 613 (28.75 %) 573 (26.88 %)
> Total Loss -42984.97 -27164.97 -15820.00
> Avg. Loss -36.24 -44.31 -27.61
> Avg. Loss % -0.06 % -0.08 % -0.05 %
> Avg. Bars Held 8.99 12.39 5.36
> Max. Consecutive 8 9 10
> Largest loss -515.00 -515.00 -490.00
> # bars in largest loss 42 42 5
>
> --------------------------------------------------------------------
----
>
> Max. trade drawdown -735.00 -735.00 -300.00
> Max. trade % drawdown -1.30 % -1.30 % -0.51 %
> Max. system drawdown -809.99 -1060.01 -680.01
> Max. system % drawdown -3.76 % -5.07 % -4.23 %
> Recovery Factor 85.26 38.98 40.80
> CAR/MaxDD 21.50 11.78 10.96
> RAR/MaxDD 14220.51 14387.88 15810.65
> Profit Factor 2.61 2.52 2.75
> Payoff Ratio 3.27 3.09 3.54
> Standard Error 1207.01 1223.74 561.46
> Risk-Reward Ratio 15.78 8.42 15.56
> Ulcer Index 0.57 1.05 0.88
> Ulcer Performance Index 132.28 51.88 46.50
> Sharpe Ratio of trades 6.71 5.58 9.90
> K-Ratio 15.90 8.48 15.68
>
>
>
> 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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