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Thanks GP for pointing that out. I been fooling around with the code
all weekend long and inadvertantly posted the wrong one. The problem
is that it produces error on that line.
--- In amibroker@xxxxxxxxxxxxxxx, "gp_sydney" <gp.investment@xxx>
wrote:
>
> I've only had a quick glance through your code, but it looks like
> you're testing for the profit being greater than 15%, not the loss.
>
> I think the sell signal generated by ApplyStop should include reason
> code 1 for maximum loss. Try checking that.
>
> Regards,
> GP
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "tipequity" <l3456@> wrote:
> >
> > How can test to see of max loss percent has been met (using CBI)?
> > Below is my feeble attempt.
> > Thanks in advance
> >
>
> /*==================================================================
==
> > ==========
> > Global Settings
> >
======================================================================
> > ========*/
> > SetBarsRequired(1000000,0); /* this ensures that the charts
include
> > all bars AND NOT just those on screen */
> > SetFormulaName("System Four with Stochastics-6"); /* name it for
> > backtest report identification */
> > SetOption("InitialEquity", 100000); /* starting capital */
> > SetOption("CommissionAmount",8); /* commissions AND cost */
> > SetOption("CommissionMode", 2); /* set commissions AND costs as $
per
> > trade */
> > SetTradeDelays( 1, 1, 1, 1);
> > SetOption("PriceBoundChecking", 1); /* trade only within the
chart
> > bar's price range */
> > SetOption("UsePrevBarEquityForPosSizing", 1); /* set the use of
last
> > bars equity for trade size */
> > /* SetOption("MinPosValue", ); */
> > SetOption("AllowPositionShrinking", True);
> > SetOption("MinShares", 100);
> > SetOption("AccountMargin", 100);
> > SetOption("HoldMinBars",2 ); /* Set Minimun Holding Days to 2
Days*/
> > RoundLotSize = 1 ;
> > PositionSize = - 10; /* trade size will be 10% of available
equity */
> > MaxLossPercentStop = 15 ;
> > ApplyStop(0, 1, MaxLossPercentStop, 0, False, 0);
> >
> > SetBacktestMode( backtestRegularRaw );
> >
>
> /*==================================================================
==
> > ==========
> >
> >
======================================================================
> > ========*/
> >
> > TradeDate = DateTime();
> >
> > SetCustomBacktestProc("");
> >
> > MaxBuys = 3; // Set no more than 4 buys per day
> >
> > if( Status("action") == actionPortfolio )
> > {
> > bo = GetBacktesterObject();
> > bo.PreProcess();
> >
> > Symbol = " ";
> > TransType = "";
> > CommissionAmount = 8;
> > SEC_Fee = 0;
> > Rank = 0;
> > TradeSize = 0;
> > Shares = 0;
> > TransAmount = 0;
> > Reason = 0;
> > Price = 0;
> > CashBal = bo.InitialEquity;
> > EquityBal = bo.Equity;
> > ProfitPercent = 0;
> >
> > for( i = 0; i < BarCount; i++ )
> > {
> > cntBuys = 0;
> > // look at new signals and exclude signals if they exceed
maxBuys
> > for( sig = bo.GetFirstSignal(i); sig; sig =
> > bo.GetNextSignal(i) )
> > {
> > EquityBal = bo.Equity;
> > // check for Sell signal
> > if (sig.IsExit() AND sig.Type == 2 )
> > {
> > // scan through open positions
> > OpenPos = bo.FindOpenPos(
> > sig.Symbol );
> > // check for entry signal and long
> > signal
> >
> > if (OpenPos.GetPercentProfit()>15)
> > {
> > Symbol = sig.Symbol;
> > TransType = "Sold";
> > Shares = OpenPos.Shares;
> > Price = sig.Price;
> > SEC_Fee = round((OpenPos.Shares *
> > Price)*(1530/1000000))/100;
> > CommissionAmount = 8 + SEC_Fee;
> > TransAmount = (OpenPos.Shares *
> > Price)- CommissionAmount;
> > CashBal = CashBal + TransAmount;
> >
> > ProfitPercent =
> > OpenPos.GetPercentProfit();
> > Reason = "MaxLossPercentStop";
> > Rank = "";
> >
> > bo.RawTextOutput(
> >
> > Symbol +
> >
> > "\t" + cntBuys +
> >
> > "\t" + TransType +
> >
> > "\t" + DateTimeToStr(TradeDate[ i ]) +
> >
> > "\t" + Price +
> >
> > "\t" + "Shares " + Shares +
> >
> > "\t" + "Commission " + CommissionAmount +
> >
> > "\t" + "Amount " + TransAmount +
> >
> > "\t" + "PosSize " + TradeSize +
> >
> > "\t" + "CashBal " + CashBal +
> >
> > "\t" + "Cash " + bo.Cash +
> >
> > "\t" + "EquityBal " + EquityBal +
> >
> > "\t" + "Reason " + Reason +
> >
> > "\t" + "Profit% " + ProfitPercent +
> >
> > "\t" + Rank
> >
> > );
> > }
> > else if( openpos AND openpos.IsLong )
> > {
> > Symbol = sig.Symbol;
> > TransType = "Sold";
> > Shares = OpenPos.Shares;
> > Price = sig.Price;
> > SEC_Fee = round((OpenPos.Shares *
> > Price)*(1530/1000000))/100;
> > CommissionAmount = 8 + SEC_Fee;
> > TransAmount = (OpenPos.Shares *
> > Price)- CommissionAmount;
> > CashBal = CashBal + TransAmount;
> >
> > Reason = sig.Reason;
> > Rank = "";
> >
> > bo.RawTextOutput(
> >
> > Symbol +
> >
> > "\t" + cntBuys +
> >
> > "\t" + TransType +
> >
> > "\t" + DateTimeToStr(TradeDate[ i ]) +
> >
> > "\t" + Price +
> >
> > "\t" + "Shares " + Shares +
> >
> > "\t" + "Commission " + CommissionAmount +
> >
> > "\t" + "Amount " + TransAmount +
> >
> > "\t" + "PosSize " + TradeSize +
> >
> > "\t" + "CashBal " + CashBal +
> >
> > "\t" + "Cash " + bo.Cash +
> >
> > "\t" + "EquityBal " + EquityBal +
> >
> > "\t" + "Reason " + Reason +
> >
> > "\t" + "Profit% " + ProfitPercent +
> >
> > "\t" + Rank
> >
> > );
> > }
> > }
> > // check for entry signal
> > }
> > bContinue = True;
> > for( sig = bo.GetFirstSignal(i); sig; sig =
> > bo.GetNextSignal(i) )
> > {
> > if( sig.IsEntry() )
> > {
> > Symbol = sig.Symbol;
> > TradeSize = (bo.Equity / -
> > sig.PosSize);
> > Shares = round(TradeSize/sig.Price);
> > Price = sig.Price;
> > if( cntBuys > MaxBuys )
> > {
> > sig.PosSize = 0;
> > TransType = "Rejected";
> > Reason = "Exceed Max No.
> > Trades per Day";
> > bo.RawTextOutput(
> >
> > Symbol +
> >
> > "\t" + cntBuys +
> >
> > "\t" + TransType +
> >
> > "\t" + DateTimeToStr(TradeDate[ i ]) +
> >
> > "\t" + Price +
> >
> > "\t" + "Shares " + Shares +
> >
> > "\t" + "Commission " + CommissionAmount +
> >
> > "\t" + "Amount " + TransAmount +
> >
> > "\t" + "PosSize " + TradeSize +
> >
> > "\t" + "CashBal " + CashBal +
> >
> > "\t" + "Cash " + bo.Cash +
> >
> > "\t" + "EquityBal " + EquityBal +
> >
> > "\t" + "Reason " + Reason +
> >
> > "\t" + "Profit% " +
> >
> > "\t" + Rank
> >
> > );
> > }
> > else
> > {
> > TransType = "Bought";
> > cntBuys = cntBuys + 1;
> > TransAmount = -(Shares *
> > Price)-CommissionAmount;
> > CashBal = CashBal +
> > TransAmount;
> > Reason = sig.Reason;
> > Rank = sig.PosScore;
> >
> > bo.RawTextOutput(
> >
> > Symbol +
> >
> > "\t" + cntBuys +
> >
> > "\t" + TransType +
> >
> > "\t" + DateTimeToStr(TradeDate[ i ]) +
> >
> > "\t" + Price +
> >
> > "\t" + "Shares " + Shares +
> >
> > "\t" + "Commission " + CommissionAmount +
> >
> > "\t" + "Amount " + TransAmount +
> >
> > "\t" + "PosSize " + TradeSize +
> >
> > "\t" + "CashBal " + CashBal +
> >
> > "\t" + "Cash " + bo.Cash +
> >
> > "\t" + "EquityBal " + EquityBal +
> >
> > "\t" + "Reason " + Reason +
> >
> > "\t" + "Profit% " +
> >
> > "\t" + Rank
> >
> > );
> > }
> > }
> > }
> > bo.ProcessTradeSignals( i );
> > }
> > bo.PostProcess();
> > }
> >
> >
> > //fast = Optimize("fast", 12, 5, 20, 1 );
> > //slow = Optimize("slow", 26, 10, 25, 1 );
> > Buy=Cross(MACD(12,26),Signal(12,26));
> > Sell=Cross(Signal(12,26),MACD(12,26));
> >
>
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