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ozzyapeman wrote:
Hello, hoping someone can help out with this code. Aron was
kind enough to post a version of some code that is meant to inject some
slippage when using ApplyStop(). However, I can't seem to get it to
work. All I want it to do is reduce Long exits by 2 pips (I'm
backtesting Forex) and increase Short exits by 2 pips, when using
ApplyStop.
Here is the code. At present, it only ends up blanking out my backtest
report - no trades taken. Without the code, dozens or hundreds of
trades taken, depending on which system I test. As far as I can tell,
this code should work, but doesn't. Any input appreciated:
Good Idea to move this in a separate thread.
I do not know why the following ways accessing TickSize are not working.
method 1
-------------------------------------------
slippage = TickSize;
spread = 2 *
TickSize;
for ( bar = 0; bar < BarCount; bar++ )
{
for ( sig = bo.GetFirstSignal(bar); sig; sig =
bo.GetNextSignal(bar) )
{
method 2
-------------------------------------------
for ( sig = bo.GetFirstSignal(bar); sig; sig =
bo.GetNextSignal(bar) )
{
slippage = sig.TickSize;
spread = 2
* sig.TickSize;
}
the followng code returns correctly slippage and spread but the trades
are not stopped out at exactly stop distance
I'm having this problem with ApplyStop() generally.
//------------------------------------------------
// Settings for ( BID+ASK) /2
//------------------------------------------------
SetCustomBacktestProc("");
if ( Status( "action" ) == actionPortfolio )
{
bo = GetBacktesterObject();
bo.PreProcess();
for
( bar = 0;
bar < BarCount; bar++ )
{
for ( sig = bo.GetFirstSignal(bar); sig; sig =
bo.GetNextSignal(bar) )
{
symbol = sig.symbol;
hi = Foreign(symbol, "High");
lo = Foreign(symbol, "Low");
if( StrFind(symbol, "JPY"))
{
slippage = 0.01;
spread = 2 * 0.01;
}
else
{
slippage = 0.0001;
spread = 2 * 0.0001;
}
if(sig.isEntry()) // Contract Specifications
{
sig.pointvalue = 1;
// allows trading in units
ie. 1234 EURUSD
sig.margindeposit = sig.price /
100;
// Leverage used 1:100
}
if ( sig.IsExit() )
{
if ( sig.isLong) // Exit
Long
{
TrueExit = sig.price - slippage;
if( TrueExit >= lo[bar] + 0.5*spread &&
TrueExit <= hi[bar] - 0.5*spread)
{
sig.price = TrueExit;
}
else
sig.price = -1; // Ignore
signal
}
else // Exit short
{
TrueExit = sig.price + slippage;
if (TrueExit >= lo[bar]+ 0.5*spread && TrueExit <= hi[bar]+0.5*spread)
{
sig.price = TrueExit;
}
else
sig.price = -1;
// Ignore signal
}
}
}
bo.ProcessTradeSignals( bar );
}
bo.PostProcess();
}
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