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just curious as to what that "other product" might
be.
Have you looked at AB's Portfolio Backtester Interface?
d
Terry,
actually I dont know how function equity() can
help me to calculate
the number of shares per position that has been
bougth while
backtesting. Documentation on this is, as for many other
functions,
very poor and there are no examples at all for the needs I have
on
this specific problem.
While I find Amibroker is a very
impressive tool and has sometimes
surprisingly useful functions, I cannot
understand why such a
fundamental information like "TradeSize" is not
easily available
like other arrays p.e. buyprice, sellprice etc.
I
am spending hours and hours trying this and that for 3 days
already and I
dreamt about it last night. Sometimes its just
frustrating and I guess to
use a more expensive product with a
better documentation would save me a
lot of nerves and time.
enzo
--- In
amibroker@xxxxxxxxxxxxxxx, "Terry" <MagicTH@xxxx> wrote:
> 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
> | >
> | >
|
> | >
> | > |
> | >
> | > |
> |
>
> | > |
> | >
> | > |
> | >
> |
> |
> | >
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