RE: [amibroker] Back-testing a simple trading system

["Amit Ehrenreich" <amite@xxxxxxxxxxxxxxxxxx>]

Frank,
 
Say you want to sell after a 3% rise, and have a stop-loss after a 2% drop. The following code should point you in the right direction. 
 
for (i = 1; i <= Barcount-1; i++) {
       if (Buy[i]) {
            // 3 Percent profit, 2 Percen loss
            wPct = 3;
            lPct = 2;
            for (j = i; j <= Barcount-1; j++)  {
                    if (Low[j] <= (1 - lPct/100)*BuyPrice[i]) { 
                          Sell[j] = 1;
                          SellPrice[j] = Min(Open[j], (1-lPct/100)*BuyPrice[i]);
                          i = j;
                          j = Barcount; // Terminate loop
                    }
                    if (High[j] >= (1 + wPct/100)*BuyPrice[i]) {
                          Sell[j] = 1;
                          SellPrice[j] = Max(Open[j], (1+wPct/100)*BuyPrice[i]);
                          i = j;
                          j = Barcount; // Terminate loop
                    }
             }
       }
}
 
 
Regards,
 
Amit Ehrenreich
Market Testing Wizards
www.markettestingwizards.com
 

________________________________

From: amibroker@xxxxxxxxxxxxxxx on behalf of cstdc5588
Sent: Wed 3/26/2008 7:01 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Back-testing a simple trading system



I want to back-testing a simple trading system, the formula is as 
follows: 

Cond = Cross( MA (Close, 20), MA(Close, 50) );
Cond1 = Cross( MA (Close, 50), MA(Close, 20) );
MA20 = MA( Close, 20 );
MA50 = MA( Close, 50 );
Crosses = Cross( MA20, MA50 ) OR Cross( MA50, MA20 ) ;
Buy = Cond;
Sell = Cond1;

I'm going to add buy(or short) and sell(or cover), as well as stop-
loss conditions. Such as: when to buy or short a stock, if it has a 
profit of 3%, should sell(or cover) to close this position. If the 
loss occurred, when the loss is 2% to sell(or cover) to stop loss. In 
addition, total capital is $100,000, per transaction for a 10% of the 
capital, while a maximum of 10 positions, not considering 
commissions. I don't know how to write this formula, any help would 
be appreciated!

Frank



 

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