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Ciao Angelo,
thanks for your reply.
> 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)?
I'm not that expert about AB but it seems like that priority order
applies to APPLYSTOP only as per the user's guide
> 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).
That's what I must do...but it's much more complex than switching
on/off some properties.
> 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.
That's correct...but again the code becomes much more complex
Thanks,
PC
--- In amibroker@xxxxxxxxxxxxxxx, "Angelo" <ima_cons@xxx> wrote:
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Paolo Cavatore" <pcavatore@>
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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