[amibroker] sigscaleout problem, AmiBroker Email List Archive

Hello members,
I am newbie in Amibroker. I am having one difficulty with sigscaleout command. Basically, I want to exit a trade if I get 0.5% profit and subsequently at 1% profit. A trailing stoploss is placed at 0.5% level. I am presently backtesting historical intraday data of Nifty Futures. I have adapted a code published in the group. This setup is for intraday future trading with 10% leverage. The price of a share is around 4400.. I was only testing the long side of the trade with sigscaleout option. But, I am having the following difficulty. I could not fix the problem in the last 2/3 days.

After the trigger of sigScaleout, whenever full exit from the trade is taking place, the cash is showing a negative number when I am plotting the Equity. For e.g., if I am starting with initial capital of 5,00,000/= the cash is becoming around -36,00,000. And consequently, there is no trade taking place in the back-tester after this. I tried Equity(1) option in my code but the sigscaleout will not work there.

Am I going wrong somewhere. The code is given below. Please help. Thanks.

Regards,
Santanu

SetOption("InitialEquity", 500000);

//SetOption("MinShares", 100);

//SetOption("NoDefaultColumns", True );

//SetOption("AllowSameBarExit", True );

//SetOption("ActivateStopsImmediately" , True );

SetOption("FuturesMode", True );

SetOption("InterestRate", 0);

SetOption("CommissionMode", 1); //$$ per trade

SetOption("CommissionAmount", 0.031); // commission is accounted for in skid

SetOption("MarginRequirement", 10);

SetTradeDelays(0,0,0,0);

RoundLotSize = 50;

TickSize = 0.05;

timestore = TimeNum();

Buy = TimeNum() <= 150000 AND Cross( EMA( C, 4 ), EMA( C, 32 ) );

Sell = 0;

FirstProfitTarget = 0.5; // profit

SecondProfitTarget = 1.0; // in percent

TrailingStop = 0.5; // also in percent

priceatbuy=0;

highsincebuy = 0;

exit = 0;

for( i = 0; i < BarCount; i++ )

{

SellPrice[i]=0;

if( priceatbuy == 0 AND Buy[i] ) {

priceatbuy = BuyPrice[i];

}

if( priceatbuy > 0 ) {

highsincebuy = Max( High[i], highsincebuy );

if( exit == 0 AND High[i] >= ( 1 + FirstProfitTarget * 0.01 ) * priceatbuy ) {

// first profit target hit - scale-out

exit = 1;

Buy[i] = sigScaleOut;

BuyPrice[i] = Max( Open[i], ( 1 + FirstProfitTarget * 0.01 ) * priceatbuy );

}

else { // Added ELSE here for Initial entry trail stop

if( exit == 0 AND ( timestore[i] > 152000 OR Low[ i ] <= ( 1 - TrailingStop * 0.01 ) * highsincebuy ) ) {

// trailing stop hit - exit

exit = 3;

SellPrice[ i ] = Min( Open[ i ], ( 1 - TrailingStop * 0.01 ) * highsincebuy );

}

if( exit == 1 AND High[i] >= ( 1 + SecondProfitTarget * 0.01 ) * priceatbuy ) {

// second profit target hit - exit

exit = 2;

SellPrice[i] = Max( Open[i], ( 1 + SecondProfitTarget * 0.01 ) * priceatbuy );

}

else { // Added ELSE here for trail stop on scale out parcel

if(exit == 1 AND ( timestore[i] > 152000 OR Low[ i ] <= ( 1 - TrailingStop * 0.01 ) * highsincebuy ) ) {

exit = 3;

SellPrice[ i ] = Min( Open[ i ], ( 1 - TrailingStop * 0.01 ) * highsincebuy );

}

if( exit >= 2 ) {

Buy[i] = 0;

Sell[i] = exit + 1; // mark appropriate exit code

exit = 0;

priceatbuy = 0; // reset price

highsincebuy = 0;

}

"buy = " + WriteVal(Buy);

"sell = " + WriteVal(Sell);

"priceatbuy = " + WriteVal(priceatbuy);

"buyprice = " + WriteVal(BuyPrice);

"sellprice = " + WriteVal(SellPrice);

PlotShapes( Buy * shapeUpArrow + Sell * shapeDownArrow , IIf( Buy, colorGreen, colorRed ), 0, IIf( Buy, Low, High ));

//SetPositionSize( 50, spsPercentOfEquity) ; // 2% of equity

SetPositionSize( 50, spsPercentOfPosition * ( Buy == sigScaleOut ) );