|
PureBytes Links
Trading Reference Links
|
Now I see what you are really trying to do. Seems like this should be
possible with a custom backtest routine or maybe just the equity()
function. Also, I don't see why you couldn't extend your code below to
figure the equity. You have the shares and the exit price so you could
keep a running total, yes?
--
Terry
| -----Original Message-----
| From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On
| Behalf Of enzo
| Sent: Wednesday, September 07, 2005 11:12
| To: amibroker@xxxxxxxxxxxxxxx
| Subject: [amibroker] Re: Applystop again
|
| Hi Terry,
|
| thank you for your suggestion anyway! But the meaning of your code
| is, the stops would be executed when the price of the share reaches
| 1000 or 700. This in most cases never happens.
|
| With following code I came close to the expected results, but in
| most cases I did not, because backtester uses 5% of the current
| cumulated capital, which I also prefer but cannot calculate:
|
| TargetStop = 1000.00;
| StopLoss = 700.00;
|
| Capital = GetOption("InitialEquity");
| Investment = IIf(PositionSize<0,Capital*abs
| (PositionSize)/100,PositionSize);
|
| NumberOfShares = investment/BuyPrice;
|
| TargetStopPoints = TargetStop/NumberOfShares;
| StopLossPoints = StopLoss/NumberOfShares;
|
| ApplyStop(stopTypeLoss,stopModePoint,
| amount=StopLossPoints,ExitAtStop=1,Volatile=False,ReEntryDelay=1);
|
| ApplyStop(stopTypeProfit,stopModePoint,
| amount=TargetStopPoints,ExitAtStop=1,Volatile=False,ReEntryDelay=1);
|
|
| enzo
|
| --- In amibroker@xxxxxxxxxxxxxxx, "Terry" <MagicTH@xxxx> wrote:
| > Try this or some variation:
| >
| >
| >
| > PositionSize = -5; //Spends 5% of your equity
| >
| > ApplyStop(StopModeProfit, stopModePoint, 1000, exitatstop = 0, 1
| or 2,
| > 0, re-entry delay = 0,1,2...);
| >
| > ApplyStop(StopModeLoss, stopModePoint, 700, exitatstop = 0, 1 or
| 2, 0,
| > re-entry delay = 0,1,2...);
| >
| >
| >
| > Buy = your buy conditions;
| >
| > Sell = your buy conditions;
| >
| >
| >
| > If you want to buy multiple positions then also set
| MaxOpenPositions and
| > adjust PositionSize to be -5 * MaxOpenPositions.
| >
| >
| >
| > MaxOpen = 5; //Buy up to 5 positions
| >
| > SetOptions(MaxOpenPositions,MaxOpen);
| >
| > PositionSize = MaxOpen * -5; //Spend 5% of portfolio on each
| position
| >
| >
| >
| > (Note: code not tested.)
| >
| > --
| >
| > Terry
| >
| >
| >
| > | -----Original Message-----
| >
| > | From: amibroker@xxxxxxxxxxxxxxx
| [mailto:amibroker@xxxxxxxxxxxxxxx] On
| >
| > | Behalf Of enzo
| >
| > | Sent: Wednesday, September 07, 2005 07:08
| >
| > | To: amibroker@xxxxxxxxxxxxxxx
| >
| > | Subject: [amibroker] Applystop again
| >
| > |
| >
| > | Hello Usergroup,
| >
| > |
| >
| > | I read dozens of mails of this group about this but it seems my
| >
| > | applystop-problem has not been discussed before.
| >
| > |
| >
| > | I want to backtest a strategy in non-futures-mode where 5% of the
| >
| > | capital is beeing used to open a position and profit-target-stops
| >
| > | and Stop-Loss are executed after a certain amount, say 1000 as
| >
| > | profit and 700 as loss is reached for the whole position.
| >
| > |
| >
| > | Is there an easy way to calculate the number of shares beeing
| bought
| >
| > | or shorted? Results of my calculation
| >
| > | (NumberOfShares=investment/BuyPrice;) are always different from
| the
| >
| > | numbers the backtester calculates.
| >
| > |
| >
| > | Has anyone coded the same strategy and would like to help me with
| >
| > | the snippet of code that I need for axecuting the stops?
| >
| > |
| >
| > | Thank you in advance
| >
| > | enzo
| >
| > |
| >
| > |
| >
| > |
| >
| > |
| >
| > |
| >
| > |
| >
| > | ------------------------ Yahoo! Groups Sponsor ------------------
| --~--
| >
| > | >
| >
| > | Help Sudanese refugees rebuild their lives through GlobalGiving.
| >
| > | http://us.click.yahoo.com/hjNroD/EbOLAA/cosFAA/GHeqlB/TM
| >
| > | -----------------------------------------------------------------
| ---~-
| >
| > | >
| >
| > |
| >
| > | 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
| >
| > |
| >
| > | http://groups.yahoo.com/group/amibroker/
| >
| > |
| >
| > | amibroker-unsubscribe@xxxxxxxxxxxxxxx
| >
| > |
| >
| > | http://docs.yahoo.com/info/terms/
| >
| > |
|
|
|
|
| ------------------------ Yahoo! Groups Sponsor --------------------~--
| >
| Help tsunami villages rebuild at GlobalGiving. The real work starts
| now.
| http://us.click.yahoo.com/njNroD/KbOLAA/cosFAA/GHeqlB/TM
| --------------------------------------------------------------------~-
| >
|
| 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
|
|
|
|
------------------------ Yahoo! Groups Sponsor --------------------~-->
Help Sudanese refugees rebuild their lives through GlobalGiving.
http://us.click.yahoo.com/hjNroD/EbOLAA/cosFAA/GHeqlB/TM
--------------------------------------------------------------------~->
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/
|