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Hi Phill,
What do you mean by manually test?
And maybe you can you give a specific security and time frame for which to
check out your Cover results? For example, here are my backtester results,
with the code you provided and Quotes Plus data for NWAC from 1997 to 2003.
Trade list Ticker Trade Entry Exit % change Profit Shares Pos. value Cum.
profit # bars Profit/bar MAE/MFE
NWAC Short 11/29/2001
17.2266 3/5/2002
17.8 3.33% -344.19
-3.44% 580 9991.41 -344.19 65 -5.30 -11.11%
21.28%
NWAC Short 8/27/2002
10.67 11/11/2002
7.03 -34.11% 3272.48
33.93% 904 9645.68 2928.29 54 60.60 -2.72%
55.85%
And we might need to compare our settings (.ABS) files. (For example, I have
my Trades set at zero delay and I trade at the Close; and I allow .01 per
share as a commission.)
thanks
-john
----- Original Message -----
From: "pennellp2000" <pennellp2000@xxxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Saturday, August 14, 2004 6:47 PM
Subject: [amibroker] formula help needed
I am using the following Short system and need help. When I manually
test the exits against the backtester results I find they are
different. I have 2 exits . The trailing profit exit if the price
closes above (the lowest low + 4 * ATR(100) ) or the initial
stop , the price closes above ( the entry price + 1 * ATR(100).
Could someone tell me where I have gone wrong. Thanks in advance
Phill
Turnover = MA(Close,21) * MA(Volume,21);
ATRperc = (ATR(10)/Close) * 100;
Filter = StochK( 10, 3 ) < StochD( 10, 3, 3 )
AND Ref( HHV( StochK( 10, 3 ), 2 ), 0 ) > 80
AND StochK( 10, 3 ) < 80
AND Close >= 1
AND Close < MA(Close,100)
AND MA(Close,100) < (Ref(MA(Close,100) , -50) - 4 * ATR(100))
AND Turnover >= 500000
AND Turnover <= 15000000
AND ATRperc >= 2
AND ATRperc <= 8;
AddColumn(Close,"close");
AddColumn(ATR(100),"atr(100)");
AddColumn(ATRperc,"atr(10)%");
AddColumn(Turnover,"Turnover");
Short = Filter;
Cover = Cross(LowestSince(Short,L) + 4 * ATR(100),C)
OR Cross(ValueWhen(Short,ShortPrice) + 1*ATR(100),C);
PositionSize = 10000;
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