Re: [amibroker] Re: Backtesting assumption

["ed nl" <ed2000nl@xxxxxxx>]

hi,

 

like I said the help file for ApplyStop explains this:

 

 

If two or more different stops are triggered on the VERY SAME bar then they are evaluated in this fixed order:

Fixed Ruin stop (loosing 99.96% of the starting capital)
Max. loss stop
Profit target stop
Trailing stop
N-bar stop

 

problem is that if you use EOD data you can not tell if the profit stop is hit first or not. So if you use Applystop then it triggers the stoploss before the profit stop. However, you could write your own ApplyStop routine using AFL where you use for, if, else etc statements. Then you can tell exactly what you want the priority to be.

 

However I can advise to avoid the situation completely. Because what good is such a backtest if you can not really be certain that you simulate reality?

 

rgds, Ed

 

 

 

----- Original Message -----

From: rizwankherati

To: amibroker@xxxxxxxxxxxxxxx

Sent: Monday, September 20, 2004 6:11 PM

Subject: [amibroker] Re: Backtesting assumption

Hi,

Thanks for your message, I wish someone could explain this a bit
further for me.

If I am using bar data(Open,High,Low,Close)and my stop is where the
low the bar is and my profit target is at the high of the bar. Will
the system show this as a profitable trade(As high comes first and I
would have exited at the high when my profit target was met) or a
loosing trade(Assuming low would have come first and I would have
been stopped out at low).

Best regards

Rizwan




--- In amibroker@xxxxxxxxxxxxxxx, "ed nl" <ed2000nl@xxxx> wrote:
> i think Amibroker makes no assumptions at all when one can not tell
what the sequence of events was (having EOD info only). But in
ApplyStop there is a fixed order of events (see online help of
ApplyStop). Also one may set the N-bar stop to have priority (see
backtester settings, Stops).
>
> ed
>   ----- Original Message -----
>   From: rizwankherati
>   To: amibroker@xxxxxxxxxxxxxxx
>   Sent: Monday, September 20, 2004 12:17 PM
>   Subject: [amibroker] Backtesting assumption
>
>
>   What are the assumptions Amibroker uses within price bars. So
does
>   price open, make a high, make a low, and then close lower. Or
does it
>   open, make a low, make a high, and then close lower.
>
>   Best regards
>
>   Rizwan
>
>
>
>
>   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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