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David,
As I wrote you in response to support e-mail, scaling out / position size part of the formula is
the reason of the problem.
I will further check the code you have supplied and provide you with the resolution
over support channel within few days.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "dweilmuenster95125" <dweilmuenster95125@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Monday, December 19, 2005 8:11 AM
Subject: [amibroker] Re: sigScaleOut Problem
Graham, thanks. Unfortunately, I am not much of a programmer, so the
example goes over my head.
However, I may have isolated the problem with the example included
below after my signature (adapted from the Help files). Run this code
against the single symbol "IBM" for the dates 1/1/95 through 2/16/05
with a weekly Periodicity and load 3200 bars. Although the scaling
in/out executes properly, the performance statistics are substantially
incorrect (e.g., compare total net profit to the sum of net profit for
all trades).
However, if one replaces
DoScaleOut = InTrade AND Cross(RSI2,80);
with
DoScaleOut = ExRem(InTrade AND Cross(RSI2,80),Sell);
the scaling in/out executes properly and the statistics are reported
correctly. Unfortunately, this isn't the logic that I want to
implement because I want to scale out more than once per trade. But,
it does illustrate some of the problems I'm encountering.
Any further thoughts?
Regards,
David
///////////////////////////////////////////////////////////
// Test Scaling II
SetOption("InitialEquity",100000);
SetOption("MarginRequirement",100);
SetTradeDelays(0,0,0,0);
BuyPrice = SellPrice = ShortPrice = CoverPrice = C;
RoundLotSize = 10;
RSI2 = RSIa(C,2);
// regular trading rules (no pyramiding)
Buy = C>MA(C,40) AND Cross(20,RSI2);
Sell = Cross(MA(C,40),C);
InTrade = Flip( Buy, Sell );
DoScaleIn = C>MA(C,40) AND Cross(20,RSI2);
DoScaleOut = InTrade AND Cross(RSI2,80);
Buy = IIf(DoScaleIn,sigScaleIn,
IIf(DoScaleOut,sigScaleOut,
IIf(Buy==True,True,False)));
SetPositionSize(IIf(Buy==True OR Buy==sigScaleIn,25,
IIf(Buy==sigScaleOut,50,False)),
IIf(Buy==True OR Buy==sigScaleIn,spsPercentOfEquity,
IIf(Buy==sigScaleOut,spsPercentOfPosition,False)));
--- In amibroker@xxxxxxxxxxxxxxx, Graham <kavemanperth@xxxx> wrote:
>
> It might be in the way your code is for the scale-outs. I did a test
> myself and it sold 50% of the current holding at each scale out. I
> also tried with 25% SetPositionSize( 25, spsPercentOfPosition * ( Buy
> == sigScaleOut ) ); and it sold 25% of the curent holding at each
> scaleout signal
> I just used the example code and changed the Sell to a buy=scaleout to
> test how it worked
>
> /*
> Example 4: partial exit (scaling out) on profit target stops
>
> Example of code that exits 50% on first profit target, 50% on next
> profit target and everything at trailing stop:
> */
> Buy = Cross( MA( C, 10 ), MA( C, 50 ) );
> Sell = 0;
>
> // the system will exit
> // 50% of position if FIRST PROFIT TARGET stop is hit
> // 50% of position is SECOND PROFIT TARGET stop is hit
> // 100% of position if TRAILING STOP is hit
>
> FirstProfitTarget = 10; // profit
> SecondProfitTarget = 20; // in percent
> TrailingStop = 10; // also in percent
>
> priceatbuy=0;
> highsincebuy = 0;
>
> exit = 0;
>
> for( i = 0; i < BarCount; i++ )
> {
> if( priceatbuy == 0 AND Buy[ i ] )
> {
> priceatbuy = BuyPrice[ i ];
> }
> if( priceatbuy > 0 )
> {
> highsincebuy = Max( High[ i ], highsincebuy );
> if( exit == 0 AND
> High[ i ] >= ( 1 + FirstProfitTarget * 0.01 ) * priceatbuy )
> {
> // first profit target hit - scale-out
> exit = 1;
> Buy[ i ] = sigScaleOut;
> }
> if( exit == 1 AND
> High[ i ] >= ( 1 + SecondProfitTarget * 0.01 ) * priceatbuy )
> {
> // second profit target hit - exit
> exit = 2;
> SellPrice[ i ] = Max( Open[ i ], ( 1 + SecondProfitTarget *
> 0.01 ) * priceatbuy );
> }
>
> if( Low[ i ] <= ( 1 - TrailingStop * 0.01 ) * highsincebuy )
> {
> // trailing stop hit - exit
> exit = 3;
> SellPrice[ i ] = Min( Open[ i ], ( 1 - TrailingStop * 0.01 )
> * highsincebuy );
> }
> if( exit >= 2 )
> {
> // Buy[ i ] = 0;
> Buy[ i ] = sigScaleOut;
> // Sell[ i ] = exit + 1; // mark appropriate exit code
> exit = 0;
> priceatbuy = 0; // reset price
> highsincebuy = 0;
> }
> }
> }
>
> SetPositionSize( 50, spsPercentOfEquity );
> SetPositionSize( 50, spsPercentOfPosition * ( Buy == sigScaleOut ) );
> // scale out 50% of position
>
>
>
> --
> 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 12/19/05, dweilmuenster95125 <dweilmuenster95125@xxxx> wrote:
> > My Backtest is Long Only, based on Weekly Charts.
> >
> > The only two statements in my AFL code regarding Position Size are:
> >
> > SetPositionSize (100/3,spsPercentOfEquity);
> > SetPositionSize(50, IIf( Buy == sigScaleOut, spsPercentOfPosition,
> > spsNoChange ) );
> >
> > Execution of the scaling out gives unpredictable results. An example
> > below shows that the first scaleout was OK (110 out of 220 open
> > shares of IBM scaled out on 11/5/2004). However, the next scale out
> > on 11/12/2004 (the next weekly bar) scales out 210 shares, when
> > there are only 110 shares in the position, leaving the account short
> > by 100 shares.
> >
> > Any thoughts as to what may be going wrong?
> >
> > I have lots of other examples where the scale out size is not 50% of
> > the current position. Am happy to share more of the code, but
> > thought this might be enough to generate some ideas.
> >
> >
> > Thanks,
> > David
> > ------------------------------------------------
> >
> >
> >
> >
> >
> > Date Information
> > .
> > 8/20/2004
> > Entry signals(score):
> > Exit signals:
> > 0 Open Positions: , Equity: 57406.1, Cash: 57406.1
> > 8/27/2004
> > Entry signals(score):IBM=Buy(14.4218),
> > Exit signals:
> > Enter Long, IBM, Price: 85.23, Shares: 220, Commission: 2.2,
> > Rank: 14.4218, Equity 57401.7, Margin Loan: 0, Fx rate: 1
> > 1 Open Positions: , IBM (+220), Equity: 57359.8, Cash: 38675.2
> > 9/3/2004
> > Entry signals(score):
> > Exit signals:
> > 1 Open Positions: , IBM (+220), Equity: 57260.8, Cash: 38697.2
> > .
> > 10/29/2004
> > Entry signals(score):
> > Exit signals:
> > 1 Open Positions: , IBM (+220), Equity: 58615.8, Cash: 38873
> > 11/5/2004
> > Entry signals(score):
> > Exit signals:IBM=Scale-Out,
> > Scale-Out Long IBM, Price 89.33, Shares 110, Fx Rate 1, Total
> > Shares Hold 110, Exited 110, Avg. Price Entry 85.23, Exit 89.33, Avg
> > Fx. Rate Entry 1, Exit 1
> > 1 Open Positions: , IBM (+110), Equity: 58985.6, Cash: 48725.9
> > 11/12/2004
> > Entry signals(score):
> > Exit signals:IBM=Scale-Out,
> > Scale-Out Long IBM, Price 92.5, Shares 210, Fx Rate 1, Total
> > Shares Hold -100, Exited 320, Avg. Price Entry 85.23, Exit 91.4103,
> > Avg Fx. Rate Entry 1, Exit 1
> > 1 Open Positions: , IBM (-100), Equity: 58656.4, Cash: 68187.4
> > .
> >
> >
> >
> >
> >
> >
> >
> >
> > 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.
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SUPPORT {at} amibroker.com
For other support material please check also:
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