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Knowledge Base:
http://www.amibroker.com/kb/2007/03/24/how-to-plot-a-trailing-stop-in-the-price-chart/
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "Flávio Veloso" <flavso@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Monday, July 14, 2008 3:17 PM
Subject: [amibroker] Re: Dynamic trailing stop - ploting vs backtesting giving different values
> Hi all.
>
> Anybody cared to test this???
>
> Is anyone trailing stops manually on the broker
> matchingApplyStop(stopModeTrailing...) behavior?
>
> If so, how are you doing it? I.e. how do you know the exact value to set
> your stops at?
>
> Flávio Veloso escreveu:
>> Hi all.
>>
>> I'm trying to plot the trailing stop used by the ApplyStop() function
>> but had no success so far. Consider this simple system:
>>
>> ---------------------snip-------------------
>>
>> SetOption("InitialEquity", 100000);
>>
>> BuyPrice = SellPrice = Open;
>> SetTradeDelays(1, 1, 1, 1);
>>
>> Buy = Cross(Signal(), MACD());
>> Sell = Cross(MA(C, 200), C);
>>
>> TS = 4 * ATR(20);
>> ApplyStop(stopTypeTrailing, stopModePoint, TS, 1, TRUE);
>>
>> #include "Formulas/Basic Charts/Price.afl";
>>
>> Plot(High - TS, "Trailing Stop", colorRed, styleDots | styleNoLine);
>>
>> ---------------------snip-------------------
>>
>> For example, when I run this system on DJI from 2003 to 2007, I get a
>> trade started on 2006-08-14 with entry price equals to 11089.10. This
>> trade ends by triggering the backtester trailing stop in 2007-02-27 with
>> exit price at 12148.50.
>>
>> However, the trailing stop plot never reach the 12148.50 value exactly.
>> Actually, the highest value of the trailing stop plot since trade start
>> is 12237.11 (at 2007-02-20), which is higher than backtester exit price!
>>
>> Another example:
>>
>> Entry: 2004-09-21 @ 10204.50
>> Exit (trail): 2005-03-29 @ 10373.50
>> If following plot: trailing stop reached 9732.29 in 2004-10-04, which
>> would cause the trade to be stopped much earlier in 2004-10-25.
>>
>> (Note: I'm using Yahoo free EOD data -- if you use another feed then
>> your numbers may be different.)
>>
>> This is frustating because I developed and optimized a system that
>> perform somewhat well in the backtester, but I can't apply it in real
>> life because I don't know how to move the stops in my broker to match
>> the values used by AB.
>>
>> So... what's wrong in my code? How to plot the ACTUAL price that
>> ApplyStop(stotTypeTrailing, stopModePoint...) consider when exiting trades?
>>
>> Thanks in advance.
>>
>
>
> --
> Flávio
>
> ------------------------------------
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>
> To get support from AmiBroker please send an e-mail directly to
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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:
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>
>
>
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