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Graham, I wish it were that simple. It's been awhile since I tossed
aside a derivatives database in which backtesting was distorted by
the Ruin Stop. I then did some search (it's not in the Help File) and
found this:
http://finance.groups.yahoo.com/group/amibroker/message/83589
> It is only because of this 100% "ruin stop" thing that it
> seems to be misbehaving.
and (part of) TJ's reply:
> If anytime during the day the loss of position exceeds 99.97% then
> it is automatically exited marking ruin (total lost of funds).
> In your case you have shorted stock at $14.32
> and later on High was $28.76.
I am no expert in detailed ins and outs of the backtester but this
pretty much coincides with what I experienced: individual positions
are closed at a 99.96% loss independent of equity. While it may be a
bit more sophisticated than that, it sure screwed up my results one
way or the other.
As said, to force out a $100 stock at 4¢ (not 40¢ as I wrote earlier)
seems ridiculous but harmless. But to close a $50 SHORT at $100 is
seriously disruptive. Especially anyone familiar with leveraged
securities (futures, options) will realize this.
I'm just guessing that TJ once had a short blow up and since
considers his "Ruin Stop" law. Very unfortunate.
--- In amibroker@xxxxxxxxxxxxxxx, Graham <kavemanperth@xxxx> wrote:
>
> am confused, if there is no equity left how can a backtest continue?
> in real life if the bank account is empty i cannot trade
> Perhaps you should code in a top up for the account during the
backtest.
> If equity<initial equity/10 add 10*equity
> --
> Cheers
> Graham
> AB-Write >< Professional AFL Writing Service
> Yes, I write AFL code to your requirements
> http://e-wire.net.au/~eb_kavan/ab_write.htm
>
>
> On 12/3/05, treliff <treliff@xxxx> wrote:
> > Thanks, glad you agree: for one who finds his $100 stock dropped
to
> > 40¢ a Ruin Stop is useless.
> >
> > The problem is more realistic in complex leveraged positions, one
> > that trades for 50¢ today, $1 tomorrow and 30¢ the day after.
> > Hats off to a backtester that has closed your short at $1. Merci!!
> > Thanks for thinking along!!
> >
> > No need to follow the details, my friend. My estimated bottom
> > line: for 99.96% of users the Ruin Stop is useless, for the
remaining
> > 0.04% it's a hindrance. It shouldn't be there, period.
> >
> > But as a compromise: just let me switch it off while you can keep
it
> > on. Could it be more fair ???
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "dingo" <dingo@xxxx> wrote:
> > >
> > > well, you've got to be the only guy I know that would find the
drop
> > of a
> > > $100 stock to 40 cents endurable. And then you blast TJ for it?
> > Give me a
> > > farking break duude. Read up on the term "drawdown".
> > >
> > > d
> > >
> > >
> > > _____
> > >
> > > From: amibroker@xxxxxxxxxxxxxxx
[mailto:amibroker@xxxxxxxxxxxxxxx]
> > On Behalf
> > > Of treliff
> > > Sent: Friday, December 02, 2005 10:39 AM
> > > To: amibroker@xxxxxxxxxxxxxxx
> > > Subject: [amibroker] Re: Disable Fixed Ruin Stop (6)?
> > >
> > >
> > > An intrusive, incomprehensibly ridiculous feature of this
otherwise
> > > great program. It completely ignores multi-leg positions.
> > >
> > > A bizarre example I posted earlier: as I incorporate options in
my
> > > positions, while my long leg makes $2 , my short leg is
amputated
> > > with a $0.20 loss because of this Ruin Stop.
> > >
> > > But even without that, when my $100 stock has dropped to 40¢, is
> > > it really time to sell? To limit my losses?? Absurd!
> > >
> > > Unfortunately, few users seem to empathize. A short discussion
via
> > > customer support also stranded with no result.
> > >
> > > A quote from Tomasz in an earlier message:
> > >
> > > > Currently ruin stop has precedence over all other kinds of
stops.
> > > > I may provide a setting to change this in the future.
> > >
> > > Let's hope the next release will have a switch to simply kill
it.
> > May
> > > the program enhance our possibilities, not limit them by
> > > pre-conceived notions about old days risk management.
> > >
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "fanziguk" <maxdanzig@xxxx>
wrote:
> > > >
> > > > Hi
> > > >
> > > > Does anyone know a way to disable the Fixed Ruin Stop (99.96%)
> > exit
> > > > that seems to be automatic.
> > > >
> > > > I would prefer to handle such risk of ruin situations in my
own
> > way.
> > > >
> > > > Many thanks
> > > >
> > > > max
> > > >
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > > 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
> > >
> > >
> > >
> > > * Visit your group "amibroker
> > > <http://groups.yahoo.com/group/amibroker> " on the web.
> > >
> > >
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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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