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Hi,
below I add simple STOP code embedded in a
simple system (see PROGRAM 1). This code is for long trades only. Below this
code I add the conventional AFL code for the same simple system (see PROGRAM 2)
which should give the same result. For a backtest on a single
symbol I get the same result. However a
portfolio backtest using a list of symbols gives a
different result.
Can someone explain how this works / why
this is and how I would get the same result using my own stop code when
doing a portfolio backtest instead of the ApplyStop code?
thnx, Ed
<FONT face="Courier New" color=#800000
size=2>
<FONT face="Courier New" color=#800000
size=2>--------------------------------------------------------------------------------
PROGRAM
1
<FONT face="Courier New" color=#800000
size=2>
<FONT
color=#800000>procedure
sell_at_close(Buy<FONT
color=#000000>,BuyPrice<FONT
color=#000000>,Open<FONT
color=#000000>,High<FONT
color=#000000>,Low<FONT
color=#000000>,Close<FONT
face="Courier New" color=#000000 size=2>,nbar) { <FONT
face="Courier New" color=#008000 size=2>/* Jul 2004
*/
global
Sell<FONT
face="Courier New">; <FONT
color=#800000>global <FONT
color=#000000>SellPrice<FONT
face="Courier New">; <FONT
color=#800000>global<FONT
size=2> BuyAdjusted; <FONT
color=#800000>global<FONT
size=2> BuyPriceAdjusted; <FONT
color=#008000>// initialise arrays<FONT
face="Courier New"> <FONT
color=#000000>SellPrice = <FONT
color=#000000>BuyPrice; <FONT
color=#000000>SellPrice = <FONT
color=#ff00ff>0<FONT
color=#000000>; Sell<FONT
color=#000000> = Buy<FONT
color=#000000>; Sell<FONT
color=#000000> = 0<FONT
face="Courier New">; BuyAdjusted =
Buy; BuyAdjusted =
0<FONT
size=2>; BuyPriceAdjusted = <FONT
color=#000000>BuyPrice; BuyPriceAdjusted =
0<FONT
size=2>; <FONT
color=#800000>for (i = <FONT
color=#ff00ff>0; i < <FONT
color=#000000>BarCount<FONT
size=2>; i++) { <FONT
color=#008000>// <FONT
face="Courier New" size=2> <FONT
face="Courier New">if<FONT
color=#000000> (Buy<FONT
color=#000000>[ i ] == 1<FONT
face="Courier New">) {
<FONT
color=#008000>// buy at open<FONT
size=2> BuyAdjusted[
i ] = 1<FONT
face="Courier New">;
BuyPriceAdjusted[ i ] = <FONT
color=#000000>Open<FONT
size=2>[ i ];
// find a
sell position + sellprice <FONT
face="Courier New"
size=2> <FONT
face="Courier New">for<FONT
color=#000000> (j = i; j < <FONT
color=#000000>BarCount<FONT
size=2>; j++) {
<FONT
color=#008000>// nbar stop exit at the open<FONT
face="Courier New">
<FONT
color=#800000>if<FONT
size=2> ((j - i) == nbar) {
<FONT
color=#000000>Sell[ j ] = <FONT
color=#ff00ff>1<FONT
color=#000000>;
<FONT
color=#000000>SellPrice[ j ] = <FONT
color=#000000>Close<FONT
size=2>[ j ];
<FONT
color=#008000>// enter i-loop starting from the last
sell<FONT
color=#000000>
i =
j;
<FONT
color=#008000>// escape from loop<FONT
face="Courier New">
j =
BarCount<FONT
face="Courier New">;
}
}
}
} } // end
procedure<FONT
color=#000000> // initial settings
for portfolio trading (also see Settings window)<FONT
face="Courier New"> <FONT
color=#0000ff>SetBarsRequired(<FONT
color=#ff00ff>10000,<FONT
color=#ff00ff>10000<FONT
size=2>); <FONT
color=#0000ff>SetOption(<FONT
color=#ff00ff>"MaxOpenPositions", <FONT
color=#ff00ff>250<FONT
size=2> ); <FONT
color=#000000>PositionSize = -<FONT
color=#ff00ff>15<FONT
color=#000000>; SetTradeDelays<FONT
color=#000000>(0<FONT
color=#000000>,0<FONT
color=#000000>,0<FONT
color=#000000>,0<FONT
face="Courier New">); <FONT
color=#008000>// initial settings of the variables<FONT
face="Courier New"> nb = <FONT
color=#ff00ff>1<FONT
color=#000000>; Buy<FONT
color=#000000> = StochK<FONT
color=#000000>(8) <
10<FONT
size=2>; // build in the
trade delay<FONT
color=#000000> Buy<FONT
color=#000000> = Ref<FONT
color=#000000>(Buy<FONT
color=#000000>,-1<FONT
face="Courier New">); <FONT
color=#000000>BuyPrice = <FONT
color=#000000>Open<FONT
size=2>; // calculate
sell positions <FONT
face="Courier New" size=2>sell_at_close(<FONT
face="Courier New">Buy<FONT
color=#000000>,BuyPrice<FONT
color=#000000>,Open<FONT
color=#000000>,High<FONT
color=#000000>,Low<FONT
color=#000000>,Close<FONT
face="Courier New">,nb); <FONT
color=#000000>Buy<FONT
size=2> = BuyAdjusted; <FONT
color=#000000>BuyPrice<FONT
size=2> = BuyPriceAdjusted; <FONT
color=#0000ff>Plot(<FONT
color=#000000>C,<FONT
color=#ff00ff>"C",<FONT
color=#ff00ff>1,<FONT
color=#ff00ff>64<FONT
color=#000000>); PlotShapes<FONT
color=#000000>(shapeUpArrow<FONT
color=#000000>*Buy<FONT
color=#000000>,colorWhite<FONT
color=#000000>, layer = 0,
yposition = BuyPrice<FONT
color=#000000>, offset = 0<FONT
face="Courier New"> ); <FONT
color=#0000ff>PlotShapes(<FONT
color=#000000>shapeDownArrow*<FONT
color=#000000>Sell,<FONT
color=#000000>colorYellow, layer =
0, yposition =
SellPrice, offset =
0<FONT
size=2> ); <FONT
color=#000000>Title=<FONT
color=#0000ff>Name()+ ",
O: "+WriteVal<FONT
color=#000000>(O)+
", H: "+<FONT
color=#0000ff>WriteVal(<FONT
color=#000000>H)+ <FONT
color=#ff00ff>", L: "+<FONT
color=#0000ff>WriteVal(<FONT
color=#000000>L)+ <FONT
color=#ff00ff>", C: "+<FONT
color=#0000ff>WriteVal(<FONT
color=#000000>C<FONT
size=2>); <FONT
color=#000000>PositionScore = (<FONT
color=#ff00ff>50-<FONT
color=#0000ff>StochK(<FONT
color=#ff00ff>8));
<FONT face="Courier New" color=#800000
size=2>
<FONT face="Courier New" color=#800000
size=2>
<FONT face="Courier New" color=#800000
size=2>-------------------------------------------------------------------
PROGRAM
2
<FONT face="Courier New" color=#800000
size=2>
/* */<FONT
face="Courier New"> <FONT
color=#008000>// initial settings for portfolio trading (also see Settings
window)<FONT
color=#000000> SetOption<FONT
color=#000000>("MaxOpenPositions"<FONT
color=#000000>, 250<FONT
face="Courier New"> ); <FONT
color=#000000>PositionSize = -<FONT
color=#ff00ff>15<FONT
color=#000000>; SetTradeDelays<FONT
color=#000000>(1<FONT
color=#000000>,1<FONT
color=#000000>,1<FONT
color=#000000>,1<FONT
face="Courier New">); <FONT
color=#008000>// initial settings of the variables<FONT
face="Courier New"> nb = <FONT
color=#ff00ff>1<FONT
color=#000000>; Buy<FONT
color=#000000> = StochK<FONT
color=#000000>(8) <
10<FONT
size=2>; <FONT
color=#000000>BuyPrice = <FONT
color=#000000>O<FONT
size=2>; <FONT
color=#000000>Sell = <FONT
color=#ff00ff>0<FONT
color=#000000>; ApplyStop<FONT
color=#000000>(stopTypeNBar<FONT
color=#000000>,stopModeBars<FONT
color=#000000>,nb,ExitAtStop = 1<FONT
color=#000000>,Volatile = False<FONT
color=#000000>, ReentryDelay = <FONT
color=#ff00ff>1<FONT
color=#000000> ); SellPrice<FONT
color=#000000> = C<FONT
face="Courier New">; <FONT
color=#0000ff>Equity(<FONT
color=#ff00ff>1<FONT
color=#000000>); // Output to the Chart
window<FONT
color=#000000> bplot = Ref<FONT
color=#000000>(Buy<FONT
color=#000000>,-1<FONT
face="Courier New">); splot = <FONT
color=#0000ff>Ref(<FONT
color=#000000>Sell,-<FONT
color=#ff00ff>1<FONT
color=#000000>); bplot = IIf<FONT
color=#000000>(bplot != 0,
1, <FONT
color=#ff00ff>0<FONT
color=#000000>); splot = IIf<FONT
color=#000000>(splot != 0,
1, <FONT
color=#ff00ff>0<FONT
color=#000000>); Plot<FONT
color=#000000>(C<FONT
color=#000000>,"C"<FONT
color=#000000>,1<FONT
color=#000000>,64<FONT
face="Courier New">); <FONT
color=#0000ff>PlotShapes(<FONT
color=#000000>shapeUpArrow*bplot,<FONT
color=#000000>colorWhite, layer = <FONT
color=#ff00ff>0, yposition = <FONT
color=#000000>BuyPrice, offset = <FONT
color=#ff00ff>0<FONT
color=#000000> ); PlotShapes<FONT
color=#000000>(shapeDownArrow<FONT
color=#000000>*splot,colorYellow<FONT
color=#000000>, layer = 0,
yposition = SellPrice<FONT
color=#000000>, offset = 0<FONT
face="Courier New"> ); <FONT
color=#000000>Title=<FONT
color=#0000ff>Name()+ ",
O: "+WriteVal<FONT
color=#000000>(O)+
", H: "+<FONT
color=#0000ff>WriteVal(<FONT
color=#000000>H)+ <FONT
color=#ff00ff>", L: "+<FONT
color=#0000ff>WriteVal(<FONT
color=#000000>L)+ <FONT
color=#ff00ff>", C: "+<FONT
color=#0000ff>WriteVal(<FONT
color=#000000>C<FONT
face="Courier New">); <FONT
color=#000000>PositionScore = (<FONT
color=#ff00ff>50-<FONT
color=#0000ff>StochK(<FONT
color=#ff00ff>8));
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