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
>
>
>
