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You are right, but without intraday data it's impossible for *any*
software to know when your stop was crossed. I think you can alter the
CoverPrice to match your exit point if you wish, but I'm not sure how to
tell you to accomplish this feat.
--
Terry
| -----Original Message-----
| From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On
| Behalf Of tycanadian2003
| Sent: Monday, June 27, 2005 01:26
| To: amibroker@xxxxxxxxxxxxxxx
| Subject: [amibroker] Re: Backtest Behavior Question/Problem
|
| Hi Terry,
|
| Tomasz cleared it up for me, but I would still say that the 50% stop
| should have been executed if this were a real trading day. The
| reason is that my stock didn't gap up, it opened at $15 or $16. That
| means that the stock had to work its way up from that price to the
| high, which means that along the way the price must have crossed my
| stop at $21.48. Unless you assume there was an intra-day gap, which
| I've never seen before on that kind of scale.
|
| So basically, it's just the way Amibroker handles it, and there's no
| way around it. It's not TOO big a deal, and while it would
| definitely be nice to more accurately simulate my trading, I guess
| I'll have to live with it.
|
| --- In amibroker@xxxxxxxxxxxxxxx, "Terry" <MagicTH@xxxx> wrote:
| > It depends now on whether you have bars between the 50% point and
| the
| > 100% exit. If you're trading daily and it changed during the day
| there
| > is no bar for it to exit on other than the close (depending on your
| > settings). According to your data it does appear that your stop was
| only
| > exceeded on this day and the exit then is correct.
| >
| > Short entry at $14.32
| > 50% Stop loss would be $21.48
| > Stop exceeded sometime during the day as evidenced by the High
| > Exit at the High of $28.76 which is > 2 times the entry = 100% loss.
| > Without intraday bars it has no way of knowing when the price went
| above
| > your 50% level until the day is done.
| > |Open = $20.50
| > |Close = $28.19
| > |Low = $20.28
| > |High = $28.76
| >
| > I agree the ruin stop on a single stock shouldn't stop the trading.
| This
| > assumes you have set your PositionSize to something less than 100%
| > (-100) so each stock, when trading multiple stocks, doesn't use all
| your
| > money.
| > --
| > Terry
| >
| >
| > | -----Original Message-----
| > | From: amibroker@xxxxxxxxxxxxxxx
| > | [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of tycanadian2003
| > | Sent: Sunday, June 26, 2005 02:39
| > | To: amibroker@xxxxxxxxxxxxxxx
| > | Subject: [amibroker] Re: Backtest Behavior Question/Problem
| > |
| > |
| > | Hi,
| > |
| > | It didn't gap up close to 100% or even 50%, so there's no reason
| why
| > | the loss should be 100% instead of the correct 50%. Basically,
| the
| > | stock opened at a reasonable price and then shot up and closed at
| a
| > | high price. This day, the day where the stock shot up over 100%,
| > | was the first possible exit point (vi stop loss). No other exit
| > | signals were generated before it, and in other similar situations
| > | (but without a 100% single-day change), the backtester behaves
| > | properly. It is only because of this 100% "ruin stop" thing that
| it
| > | seems to be misbehaving. Also, this 100% rule seems silly since
| > | this trade is a short and if someone has 20 positions in their
| > | portfolio, this means they only lose 5% of their overall equity
| > | assuming equal money distribution.
| > |
| > | Any further ideas? Tomasz, do you know why this might be
| happening?
| > |
| > | --- In amibroker@xxxxxxxxxxxxxxx, "Terry" <MagicTH@xxxx> wrote:
| > | > Check to see if the stop was reached when the first possible
| exit
| > | was
| > | > the 100% loss.
| > | >
| > | > --
| > | > Terry
| > | >
| > | >
| > | > | -----Original Message-----
| > | > | From: amibroker@xxxxxxxxxxxxxxx
| > | > | [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of tycanadian2003
| > | > | Sent: Saturday, June 25, 2005 15:46
| > | > | To: amibroker@xxxxxxxxxxxxxxx
| > | > | Subject: [amibroker] Re: Backtest Behavior Question/Problem
| > | > |
| > | > |
| > | > | Thanks for the info, Terry. I figured it was something to do
| > | with
| > | > | either a "split warning" or a "100% or greater loss".
| However,
| > | that
| > | > | still doesn't explain why my 50% stop didn't kick in. Any
| ideas
| > | on
| > | > | this?
| > | > |
| > | > | --- In amibroker@xxxxxxxxxxxxxxx, "Terry" <MagicTH@xxxx>
| wrote:
| > | > | > 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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| > | > | > |
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| > | > |
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| > | > | Please note that this group is for discussion between users
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| > | > |
| > | > | To get support from AmiBroker please send an e-mail directly
| to
| > | > | SUPPORT {at} amibroker.com
| > | > |
| > | > | For other support material please check also:
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| > |
| > | To get support from AmiBroker please send an e-mail directly to
| > | SUPPORT {at} amibroker.com
| > |
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| > | http://www.amibroker.com/support.html
| > |
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| > | Yahoo! Groups Links
| > |
| > |
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| 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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