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Thanks for the clarification, TJ.
Yes, you are right. I did miss the ApplyStop function. I'm more
interested, however, in dynamic, volatility-based max stoplosses and
calculating risk as a function of equity, not as a function of the
dollar amount invested per trade. I took a crack at re-writing your
Expectancy3 example using a 2*ATR(10) stoploss rather than a percentage
stoploss, using a constant defined risk as 1% of current equity. Now,
don't shoot me, but is the code below correct? I only changed 2 lines
(bold font) plus the ApplyStop at the end.
SetCustomBacktestProc("");
MaxLossPointStop = 2*ATR(10); // dynamic volatility
stoploss
function
FindEquityAtDateTime( eq, dt, Value )
{
found = -1;
for(
i = 0; i
< BarCount
AND found == -1; i++ )
{
if( dt[ i ] ==
Value ) found = i;
}
return IIf( found != -1, eq[ found - 1 ], Null );
}
if( Status("action") == actionPortfolio )
{
bo = GetBacktesterObject();
bo.Backtest(1); // run default
backtest procedure
SumProfitPerRisk = 0;
NumTrades = 0;
<> dt = DateTime();
eq = Foreign("~~~EQUITY", "C" );
for( trade = bo.GetFirstTrade(); trade; trade =
bo.GetNextTrade() )
{
Risk = 0.01 * eq; //risk
is defined as a constant 1% of current equity
EquityAtEntry = FindEquityAtDateTime( eq, dt,
trade.EntryDateTime );
<> RiskAsPecentOfCurrentEquity = 100 * Risk / EquityAtEntry;
RMultiple = trade.GetProfit()/Risk;
trade.AddCustomMetric("Initial risk
$", Risk );
trade.AddCustomMetric("Equity at entry", EquityAtEntry );
trade.AddCustomMetric("Risk as % of Eq.",
RiskAsPecentOfCurrentEquity );
trade.AddCustomMetric("R-Multiple", RMultiple );
SumProfitPerRisk = SumProfitPerRisk + RMultiple;
NumTrades++;
}
Expectancy3 = SumProfitPerRisk / NumTrades;
bo.AddCustomMetric( "Expectancy (per
risk)", Expectancy3 );
bo.ListTrades();
}
// your trading system here
ApplyStop( stopTypeLoss, stopModePoint, MaxLossPointStop
);
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http://www.amibroker.com/
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