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Do you know if AB hadles automatically margin violations due to losses
and rescale accordingly?
Gne
--- In amibroker@xxxxxxxxxxxxxxx, "zozuzoza" <zozuka@xxx> wrote:
>
> I have studied all the docs regarding custom backtester interface. I
> wrote the code but it does not do what I want. Could anyone please
> look at it what the problem is. Thank you, Zozu
>
> ///////Stop Loss based on portfolio equity/////////////
> StopLossEq=Optimize( "StopLossEq", 10, 1, 7, 0.5 );
> SetCustomBacktestProc("");
> if (Status("action") == actionPortfolio)
> {
> bo = GetBacktesterObject(); // Get backtester object
> bo.PreProcess(); // Do pre-processing
> MaxEq=bo.Equity;
> for (i = 0; i < BarCount; i++) // Loop through all bars
> {
> if (i>0 && bo.Equity>MaxEq) MaxEq=bo.Equity;
> for (sig = bo.GetFirstSignal(i); sig; sig = bo.GetNextSignal
> (i))
> { // Loop through all signals at this bar
> if (sig.IsEntry()) // Process entries
> {
> bo.EnterTrade(i, sig.Symbol, True,
> sig.Price,sig.posSize); }
> else
> {
> if (sig.IsExit()) bo.ExitTrade(i, sig.Symbol,
> sig.Price); // Process exits
>
> }
> } // End of for loop over signals at this bar
> bo.HandleStops(i);// Handle programmed stops at this bar
> for (trade = bo.GetFirstOpenPos(); trade; trade =
> bo.GetNextOpenPos())
> { // Loop through all open positions
> if (bo.Equity<(1-StopLossEq/100)*MaxEq) bo.ExitTrade(i,
> trade.Symbol, trade.GetPrice(i+1,"O"),5);//ExitType=ruin
> } // End of for loop over trades at this bar
> bo.UpdateStats(i, 1); // Update MAE/MFE stats for bar
> bo.UpdateStats(i, 2); // Update stats at bar's end
> } // End of for loop over bars
> bo.PostProcess(); // Do post-processing
> }
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@> wrote:
> >
> > Refer to "AmiBroker Custom Backtester Interface.pdf" in the Files
> > section of this group, posted by gp_sydney:
> >
> > http://f1.grp.yahoofs.com/v1/4MUQScTOe79GNNV-
> >
> ZkLEVgZrQsvpi7UryW1IV34jAcr5MrdKVujCnYWixQTKH2jURoJKyDJobZlG0ZMwEvdBvx
> > nggD5xMLok/AmiBroker%20Custom%20Backtester%20Interface.pdf
> >
> > You can monitor portfolio equity on a bar by bar basis in custom
> > backtester code. If equity falls below your threshold, iterate
> through
> > the list of open positions and close them out using the low level
> > custom backtester API:
> >
> > http://www.amibroker.com/guide/a_custombacktest.html
> >
> > Mike
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "zozuzoza" <zozuka@> wrote:
> > >
> > > Thanks, the example works on single stock equity. I am looking
> for
> > > portfolio equity.
> > >
> > > To correct my question
> > > How could I code a stop loss based on portfolio equity? If the
> > > portfolio equity drops 5%, close the positions.
> > >
> > > Has anybody come accross this problem?
> > >
> > > Thank you.
> > >
> > > Best regards,
> > > zozu
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, reinsley <reinsley@> wrote:
> > > >
> > > > Hi,
> > > >
> > > > Howard B gave an exemple in this topic :
> > > >
> > > > http://finance.groups.yahoo.com/group/amibroker/message/130567
> > > >
> > > > Best regards
> > > >
> > > > zozuzoza a écrit :
> > > > >
> > > > > How could I code a stop loss based on equity? If the equity
> > drops
> > > 5%,
> > > > > close the positions.
> > > > >
> > > > > Thanks a lot,
> > > > > zozu
> > > > >
> > > >
> > >
> >
>
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