Couldn't custom backtester code be written to just set positionsize
to
zero for all subsequent trades after reaching your daily maximum?
That way
you would not have to alter your actual trade logic at all.
Whenever
possible, I prefer to keep my trade logic in its original
form, then
handle constraints in easily swapped custom backtest
code.
Mike
--- In amibroker@xxxxxxxxxps.com,
"Edward Pottasch" <empottasch@...>
wrote:
>
> hi
Barry,
>
> thanks for your reply. I am close to a solution
myself.
>
> I tried something similar as you suggest but the
problem I am
having is that if the daily target is reached it needs to
jump to the
next day of intraday data and not jump out the loop entirely.
I am
close to the solution,
>
> regards, Ed
>
>
>
> ----- Original Message -----
> From: Barry
Scarborough
> To: amibroker@xxxxxxxxxps.com
> Sent: Tuesday, August 26, 2008 5:06 PM
> Subject: [amibroker]
Re: backtest / equity curve
>
>
> Hi Edward,
>
> You can keep track of your daily gain and when that reaches your
> threshold block your buy and short signals. For instance you
might
> use buyPrice and sell price to calculate gain / trade that
keep
gain
> in its own array or static var, I prefer the latter,
and just
bump
> the gain each time a trade is complete.
>
> buy = buyCondition and gain < threshold.
>
> This way
the back tester never sees the additional or potential
> trades and
will give you better results. Also in back testing if
you
> use
buyPrice, etc., if you are using conditions that occur mid
bar,
>
such as MA cross, then the back tester gives more accurate
results. I
> had to use explore and dump that to excel to finally get the back
> tester to give correct results. Using close of the bar give
incorrect
> results.
>
> Barry
>
> --- In
amibroker@xxxxxxxxxps.com,
"Edward Pottasch" <empottasch@>
> wrote:
>
>
> > hi,
> >
> > anyone ever do a backtest on
intraday data to exit trading for
the
> day when a certain profit
is achieved? In the chart below the
> intraday profit / loss curve is
shown. I guess I could put this
data
> in a composite and use the
compositie during a more detailed
> backtest. Still the coding is
pretty difficult since when the
daily
> profit is achieved you want
the backtest to continue for the next
day
> of intraday data.
> >
> > Another way to test it would be to just analyze
the data below.
For
> instance if +1000$ is achieved intraday jump
to the next day, if
not
> take the profit/loss value at the close
and just add these value.
Not
> so easy to program or have I been
drinking too much liquor lately?
> >
> > Wonder if anyone
solved this problem or sees the solution?
> >
> > thanks,
Ed
>
>
>
