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RE: [amibroker] Backtest Behavior Question/Problem



PureBytes Links

Trading Reference Links

Short (6). 6 is the "ruin loss" stop code. If you lost 100% on a single
trade you would have a "ruin stop".

--
Terry


| -----Original Message-----
| From: amibroker@xxxxxxxxxxxxxxx 
| [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of tycanadian2003
| Sent: Friday, June 24, 2005 05:58
| To: amibroker@xxxxxxxxxxxxxxx
| Subject: [amibroker] Backtest Behavior Question/Problem
| 
| 
| Hi,
| 
| Glad to see the threads on performance were of interest to so many 
| people.  Anyhow, I have a new question!
| 
| I have a play-system that I run a backtest for over the last 10 
| years.  On 8/18/1999, it Shorts the stock "DITC" at a price of 
| $14.32.  In my code, I have a 50% intraday max-loss stop, 
| ActivateStopsImmediately = TRUE, ExitAtStop = 1.  On 8/20/1999, the 
| day's data is as follows:
| 
| Open = $20.50
| Close = $28.19
| Low = $20.28
| High = $28.76
| 
| The Backtester exits the stock at a price of $28.64 (exactly double) 
| and beside the word "Short" in the "Trade" column, there is a "(6)", 
| so it looks like "Short (6)".  I have checked and this stock did not 
| split or anything.  With my 50% stop, it should have exited at $21.48 
| on 8/20/1999.  My stop works properly on dozens of other occasions on 
| many other stocks in the same backtest, but it seems that when a 
| stock goes bad by over 100% in a single bar, strange things happen 
| with the Backtester.
| 
| Interestingly, even if I remove my max-loss stop (and my code should, 
| in theory, exit the following bar, 8/23/1999, at open), it STILL 
| exits on 8/20/1999 with a "Short (6)" in the "Trade" column at $28.64 
| for a loss of exactly 100%.
| 
| This also happens in other situations, but I figured I'd just pick 
| this one as an example.
| 
| How can I make the Backtester behave correctly in this situation?  I 
| am stumped.  Any input is welcome.  Thanks!
| 
| 
| 
| 
| Please note that this group is for discussion between users only.
| 
| To get support from AmiBroker please send an e-mail directly to 
| SUPPORT {at} amibroker.com
| 
| For other support material please check also: 
| http://www.amibroker.com/support.html
| 
|  
| Yahoo! Groups Links
| 
| 
| 
|  
| 
| 



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