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[amibroker] backtest daily entry signals with intraday stop-loss orders



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Title: AmiBroker User's List

Has anyone of you ever come across the problem of properly backtesting stop-loss orders at intraday level in order to get the correct High-Low sequence within daily bars?

 

This is a key point when you want to run reliable backtests on daily data with a take-profit level and a stop-loss order. You must know which of the two exit orders is hit first and you need intraday data for that.

 

I’m referring to features like Look-inside-bar or PrecisionTick in other softwares in order to let built-in stops working at lower timeframes and get the correct exit level.

 

Unfortunately with AB if two or more different stops are triggered on the very same bar then they are evaluated in this fixed order

(see http://www.amibroker.com/guide/afl/afl_view.php?id=20):

 

Fixed Ruin stop (loosing 99.96% of the starting capital)

Max. loss stop

Profit target stop

Trailing stop

N-bar stop

 

which is a sort of worst-case scenario but it's not properly reflecting the real-world and it's particularly misleading if you need stop-level optimization.

 

The only way I can imagine to sort this out with AB is to use two timeframes together - intraday as a base frame and daily via TimeFrameSet for my Entry signals. With this technique I can have all my signals based on daily indicators and use intraday frame only for stops.

 

Unfortunately this makes the code more complex and the cost of a proper intraday database is much higher.

 

Has anyone of you found other shortcuts to accomplish that?

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