|
PureBytes Links
Trading Reference Links
|
Tomasz, I'll wait for your response via the support channel.
I didn't mean to create double work. Just thought that some other
user might have run into this and had an easy solution.
Regards,
David
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <amibroker@xxxx>
wrote:
>
> 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@xxxx>
> 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.
>
> 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 --------------------~-->
Try Online Currency Trading with GFT. Free 50K Demo. Trade
24 Hours. Commission-Free.
http://us.click.yahoo.com/RvFikB/9M2KAA/U1CZAA/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/
|