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The way it is it shows MaxLossPercentStop string but the value is not
correct. I also don't understand why all buys have zero as reason and
sells have one as reason except for MaxLossPercentStop. Also variable
CashBal is not calculated correctly.
--- In amibroker@xxxxxxxxxxxxxxx, "gp_sydney" <gp.investment@xxx>
wrote:
>
> Tried your code using my current ASX100 list and it showed your
> MaxLossPercentStop string as the reason for a few of the exits,
which
> corresponded with trades with losses greater than 15%, so it seems
to
> work.
>
> One thing I don't understand though is why all the other exits have
> reason code one, which is supposed to be max loss, when they are
just
> normal exits. According to the help information, they should have
> reason code zero.
>
> Regards,
> GP
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "tipequity" <l3456@> wrote:
> >
> > GP, you are right, one problem had to you with OpenPos returning
null
> > so I changed the code to the following:
> > if (OpenPos AND OpenPos.GetPercentProfit()<=-15)
> > However, it seems that the above code only returns zero. If you
run
> > this code you will notice that I have written a rawtextoutput
that
> > prints OpenPos.GetPercentProfit() and all the return values are
zero.
> > I have a feeling that I am mixing apples and oranges in my code.
> >
> > Regards
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "gp_sydney" <gp.investment@>
> > wrote:
> > >
> > > Probably because OpenPos is returning Null when there's no open
> > > position for that stock. Any time you call a function to get an
> > > object, you need to test that the object returned is not Null.
> > >
> > > Technically this should be done with a statement like:
> > >
> > > if (!IsNull(OpenPos))
> > >
> > > but the following also works due to the nature of Null:
> > >
> > > if (OpenPos)
> > >
> > > Regards,
> > > GP
> > >
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "tipequity" <l3456@> wrote:
> > > >
> > > >
> > > > if (OpenPos.GetPercentProfit()>15)
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx, "gp_sydney"
<gp.investment@>
> > > > wrote:
> > > > >
> > > > > On which line? And what is the error message?
> > > > >
> > > > > Regards,
> > > > > GP
> > > > >
> > > > >
> > > > > --- In amibroker@xxxxxxxxxxxxxxx, "tipequity" <l3456@>
wrote:
> > > > > >
> > > > > > 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@>
> > > > > > 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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