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I figured something out, the placement of Equity(1,0) matters a lot to
the output of the backtest. I'm a bit tired to go over and retest
everything I did tonight, so I'll take a break and search tomorrow.
Thanks for the help!
--- In amibroker@xxxxxxxxxxxxxxx, "janhausd" <janhaus@xxx> wrote:
>
> Thanks for the tips wavemechanic! I'm not getting much success with
> switching any combination of the sell/short buy/cover combos (i.e.
> exrem(buy, short) to exrem(buy,sell) etc.) but I'll keep trying. On
> the other hand, I am trying to write my own stop using the
>
http://www.amibroker.com/kb/2007/03/24/how-to-plot-a-trailing-stop-in-the-price-chart/
> webpage.
>
> A headscratcher now is that utilizing the code, i.e.
>
> Buy = cross(ma(c, 3), ma(c, 13))
> Short = cross(ma(c, 13), ma(c, 3))
> InTrade = Flip( Buy, Short );
> sellstopline = IIf( InTrade, HighestSince( Buy, High ) * ( 1 - 0.01 *
> TrailingStop ), Null );
> coverstopline = IIf( InTrade, LowestSince( Short, Low ) * ( 1 + 0.01 *
> TrailingStop ), Null );
> Sell = Cross(sellstopLine,C);
> Cover = Cross(C,coverstopline);
> Buy=ExRem(Buy,Sell); Sell=ExRem(Sell,Buy);
> Short=ExRem(Short,Cover); Cover=ExRem(Cover,Short);
>
> This seems to work, except when running BackTest, I see some trades
> where it doesn't show that Trailing Stop worked, or if I specified a
> higher MaxLoss %, it shows the MaxLoss%, seemingly ignoring the
> trailing %.
>
> In detail, some trades have %'s stopped out that are much higher than
> the TrailingStop I specified (i.e. I specify trailing stop at 5% and
> in backtest I see Short(trail) or Long(trail) with >10% changes)...any
> ideas? And yeah, I know it's possible to have a gap up between days,
> so with all of those aside, I see instances on the same day where
> there are a good number of down bars (>7) between (long)entry and
> (maxloss, or none - no trailing!)exit and plenty of opportunity to
> trail out, but no signal. Any ideas? Is there something wrong with my
> code or is there something else?
>
> --- In amibroker@xxxxxxxxxxxxxxx, "wavemechanic" <timesarrow@> wrote:
> >
> > Or maybe you were thinking about buy = cover = ... and short = sell
> = ...
> > ----- Original Message -----
> > From: wavemechanic
> > To: amibroker@xxxxxxxxxxxxxxx
> > Sent: Monday, January 07, 2008 10:19 PM
> > Subject: Re: [amibroker] Re: How to show Stops (ApplyStops) in
> Explore?
> >
> >
> > Looking more closely I would switch sell and short. applystop
> will stop buy with a sell not a short and stop a short with a cover
> not a buy. So have something like
> >
> > sell = cover = 0
> > applystop( ...
> > buy = cross(ma(c, 3), ma(c, 13))
> > short = cross(ma(c, 13), ma(c, 3))
> > exrem( ...
> > exrem( ...
> > equity( ...
> > filter = ...
> > addcolumn( ...
> >
> > Bill
> >
> > ----- Original Message -----
> > From: "janhausd" <janhaus@>
> > To: <amibroker@xxxxxxxxxxxxxxx>
> > Sent: Monday, January 07, 2008 6:48 PM
> > Subject: [amibroker] Re: How to show Stops (ApplyStops) in Explore?
> >
> >
> > > Yup, I indeed have equity(1), and I have also tried equity(1,0).
> > > The problem is that when I do a backtest the output shows the
> trailing
> > > stop activating by showing Long (trail) in the Trade column.
> However,
> > > when I use Explore, the trail doesn't shows up. I have the
> columns in
> > > explore and I can sometimes see Sells with a value of 4,
> however, I do
> > > not see all of them. At least for today, there is a trade that
> appears
> > > to have hit the trailing stop via backtest but doesn't show up via
> > > Explore.
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "wavemechanic" <timesarrow@>
> wrote:
> > >>
> > >> Do you have equity() in the code? Look at its description and
> > > comments. It assigns a value to the stop depending on the type of
> > > applystop chosen (e.g., trailing = 4). A trailing sell stop
> would = 4
> > > when hit and another column in exploration could be used to
display
> > > the event (e.g, addcolumn(sell, "sell") producing 0 and 4 output).
> > >>
> > >> Bill
> > >>
> > >> ----- Original Message -----
> > >> From: "janhausd" <janhaus@>
> > >> To: <amibroker@xxxxxxxxxxxxxxx>
> > >> Sent: Monday, January 07, 2008 4:09 PM
> > >> Subject: [amibroker] Re: How to show Stops (ApplyStops) in
Explore?
> > >>
> > >>
> > >> >I did some more searching in the newsgroups and perhaps I
> might need
> > >> > to write my own stops, although I would really like to just
> use the
> > >> > built-in ones.
> > >> >
> > >> > To clarify my original question, there are some stops that I
> can see
> > >> > via a backtest (i.e. Long(trail), indicating a long position
> entered,
> > >> > and exited via trailing stop), but do NOT show up on Explore
> (just
> > >> > shows Entry, not exit). Any way to write code to show these
> trailing
> > >> > stops via 'Explore'?
> > >> >
> > >> > ps. I have code that includes the following:
> > >> > Buy=ExRem(Buy,Sell); Sell=ExRem(Sell,Buy);
> > >> > Short=ExRem(Short,Cover); Cover=ExRem(Cover,Short);
> > >> > Filter = Buy OR Sell OR Cover OR Short;
> > >> > Equity(1);
> > >> >
> > >> > --- In amibroker@xxxxxxxxxxxxxxx, "LarsenE" <janhaus@> wrote:
> > >> >>
> > >> >> Hi,
> > >> >>
> > >> >> Sorry for this basic question, but I've been wading through
> hundreds
> > >> >> of posts and haven't yet found the answer, will keep looking.
> > >> >> In the meantime, does anybody know how to show stops in
> Explore? My
> > >> >> AFL code has some ApplyStops() functions, and the stops work
> > > perfectly
> > >> >> in backtest, and also shows up in scans, but how do I show
these
> > > stops
> > >> >> in Explore? I have columns plotted for Buy,sell,cover,short,
> and the
> > >> >> stop signals don't show up anywhere..
> > >> >>
> > >> >
> > >> >
> > >> >
> > >> >
> > >> > 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 NEW RELEASE ANNOUNCEMENTS and other news always check
DEVLOG:
> > >> > http://www.amibroker.com/devlog/
> > >> >
> > >> > For other support material please check also:
> > >> > http://www.amibroker.com/support.html
> > >> >
> > >> > Yahoo! Groups Links
> > >> >
> > >> >
> > >> >
> > >> >
> > >> >
> > >> > --
> > >> > No virus found in this incoming message.
> > >> > Checked by AVG Free Edition.
> > >> > Version: 7.5.516 / Virus Database: 269.17.13/1211 - Release
Date:
> > > 1/6/2008 11:57 AM
> > >> >
> > >> >
> > >>
> > >
> > >
> > >
> > >
> > > 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 NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> > > http://www.amibroker.com/devlog/
> > >
> > > For other support material please check also:
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> > > Yahoo! Groups Links
> > >
> > >
> > >
> > >
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> > > Version: 7.5.516 / Virus Database: 269.17.13/1213 - Release
> Date: 1/7/2008 9:14 AM
> > >
> > >
> >
> >
> >
>
------------------------------------------------------------------------------
> >
> >
> > No virus found in this incoming message.
> > Checked by AVG Free Edition.
> > Version: 7.5.516 / Virus Database: 269.17.13/1213 - Release Date:
> 1/7/2008 9:14 AM
> >
>
Please note that this group is for discussion between users only.
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For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
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For other support material please check also:
http://www.amibroker.com/support.html
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