Re: [amibroker] Limit Trade Length by Number of Bars

[Terry <MagicTH@xxxxxxxxxxx>]

Since you're already using ApplyStop why not try

ApplyStop(3,1,30,0,0); //Type=nBarStop
-- 
Terry


From: "kanowna2000" <kanowna@xxxxxxxxxxxx>
Reply-To: amibroker@xxxxxxxxxxxxxxx
Date: Sun, 07 Nov 2004 19:24:43 -0000
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Limit Trade Length by Number of Bars


Hello Everyone, 

I am trying to limit the number of bars that my trades can stay open,
to see if this can make a difference in the profitability of my
system.  If my trade has been open 50 bars I want to close the
trade.  In the 'Stops' tab of BackTester Settings I typed 50 in
the 'Bars' box of the 'N-bar stop' section, and I clicked the 'bars'
radial button to enable this feature.

I thought this would limit my trade lengths to 50 (or no more than
51, assuming sell at next day open), but I am still getting large
trade lengths, like 320 bars, and so on.  It does not seem to have
made a difference from my original system.  Below is the basic form
of my code: 

PosQty = 10; // open positions
SetOption("MaxOpenPositions", PosQty );
PositionSize = -100/PosQty; // invest 100% of portfolio equity
divided by max. position count

Cond1 = ................ (various conditions)
Cond2 = ................ (various conditions)
Cond3 = ................ (various conditions)
Cond4 = ................ (various conditions)

BuyPrice = ValueWhen(Cond4, (High + Low)/2 );

Buy      =  (BuyPrice >= Low   AND  BarsSince(Cond4) <= 10  AND
BarsSince(Cond4) > 0)  AND
            (BuyPrice >= 0.50  AND  BuyPrice <= 10.00);

ApplyStop (0, 1, 25, 1);   // uses 25% max loss stop
ApplyStop (1, 1, 90, 1);   // uses 90% tgt prof stop

Sell     = Cross( MFI(14), 80);

My system is a backtest run against all stocks for a 10-year period.

Any help would be greatly appreciated.  Many thanks.

Josef 



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