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--- In amibroker@xxxxxxxxxxxxxxx, "Paolo Cavatore" <pcavatore@xxx> wrote:
>
> 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?
>
Ciao Paolo,
yesterday I wrote an answer, and then delete it, because I'm not sure
(someone might have received it by e-mail).
So I'd take the chance to ask more knowledgeable people: is the
priority order of the stop you referred above applied just by the
APPLYSTOP command (to which is directed your link)?
Should that be the case, you could try to code your several stops
within a loop (there are some examples in the tutorial and in the
kwowledge base).
In general, Amibroker doesn't deal in the Tradestation way's with
orders on the same bar (that's a nuisance for me too, having used TS
for quite a lot), so - when it is possible - I'd better avoid to have
two orders on the same bars.
PS Anyway, the "look inside the bar" of TS2000i requires to have an
intraday database from which to build daily bars (without intraday,
how could be possible to look inside a bar of greater time frame?), so
it really comes back to use multiple time frames in AB.
------------------------------------
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