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
>
>
>