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I don't have the expertise in programming but I have been struggling
with this same bit of code for the past 2 weeks. I have made it work
on the long only side and would be glad to send you the EOD sys file
I have that works. Between the detail log and the trade report you
should be able to see what is going on and make adjustments to suite
your needs. The switches in the backtest settings will screw you up
if not set properly and may account for your weird results. make
sure in the backtest settings>portfolio tab, that the limit trade
size as % of entry bar is set to zero and just the "Trade size limit
when..." is the only thing checked. i have my max positions set to
one for now until I get the code fully to my liking. If you want the
SYS file reach me at orionsturtle@xxxxxxxxx
peace
OT
--- In amibroker@xxxxxxxxxxxxxxx, "matrix10014" <allansn@xxx> wrote:
>
> Hi,
> Been playing with a code that I copied to familairize myself with
> some of the functionality of Amibroker...As you can see,the entry
is
> a simple moving average crossover,that exits 50% of the position
up
> 20% and the remaining 50% up 30%.There is also a trailing stop..
>
> When i check a detailed log of the trade,I get very bizzare
results.
>
> An example is HANS..On 10/31/2005 I go long 205 shares of HANS@
48.59
>
> On 11/3,I scale out of 176 shares@xxx is 86% of my
> position,when i am supposed to scale out of half.As its not my
> code,and i am trying to learn Ami code,i really dont know what
went
> wrong..
>
>
>
>
> 10/31/2005
> Enter Long, HANS, Price: 48.59, Shares: 205,
> Commission: 0, Rank: 1, Equity 100000, Margin Loan: 0, Fx rate: 1
>
>
> 11/3/2005
> Exit signals:HANS=Scale-Out,
> Scale-Out Long HANS, Price 59.74, Shares 176, Fx Rate 1,
> Number of shares - Current: 29, Exited: 176, Max: 205, Avg. Entry
> Price 48.59, Avg. Exit Price 59.74, Avg Fx. Rate Entry 1, Exit 1,
>
>
>
> The code is as follows
>
> Buy = Cross(C, MA( C,21) );
> 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 = 20; // profit
> SecondProfitTarget =30; // in percent
> TrailingStop = 50; // 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;
> Sell[ i ] = exit + 1; // mark appropriate exit code
> exit = 0;
> priceatbuy = 0; // reset price
> highsincebuy = 0;
> }
> }
> }
>
> SetPositionSize( 10, spsPercentOfEquity );
> SetPositionSize( 50, spsPercentOfPosition * ( Buy ==
> sigScaleOut ) ); // scale out 50% of position
>
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