|
in my opinion if your stoploss is about the same as
your profit stop (in magnitude) you have a problem using EOD data only.
Then you need intraday. To be able to do accurate backtests using EOD data
you could for instance make the stoploss large with respect to the profitstop.
Then the number of winning trades will increase but the losers will be large. In
this setup it is very unlikely that the profitStop and the stoploss will occur
within the same bar. Although the losers are large the system might
work.
But there are more scenarios one may think of to
exit a trade, for instance like you were planning already by looking at
yesterdays high. If you do not reach yesterdays high today maybe tomorrow you
reach todays high and you could exit there. However, I use loops for these kind
of exit points and not the regular Applystop function.
ed
----- Original Message -----
Sent: Monday, September 20, 2004 8:28
PM
Subject: [amibroker] Re: Backtesting
assumption
Hi Ed,
Thanks for your message, it was really
helpful.
You said "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?"
This is so true. It does not
matter if the assumption is mine or of
Amibroker, it would be an
assumption not reality. But How to avoid
this situation the only way I can
see is to use Amibroker
professional version with tick data. Can you think
of any other way
out?
Best regards
Rizwan
---
In amibroker@xxxxxxxxxxxxxxx, "ed nl" <ed2000nl@xxxx> wrote:
>
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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>
>
> >
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> >
> >
> >
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