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
|
|
|
|
|
|
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
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|