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
>
>
>