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But I need "ExitAtStop" to be set at "1" in order for it to exit between the Low and High of each bar, as opposed to exiting on, say, the Close.
I am trading intraday. And in order to model the profitstop I use in the real world, ApplyStop needs to exit with ExitAtStop = 1.
Therein lies the problem.
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@xxx> wrote:
>
> You don't need custom backtester to do such things.
> BuyPrice = BuyPrice + Slippage:
> SellPrice = SellPrice - Slippage;
> CoverPrice = CoverPrice + Slippage:
> ShortPrice = ShortPrice - Slippage.
>
> When using ApplyStop make sure to switch "ExitAtStop" argument to false
> and it will use prices defined above.
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: Aron
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Thursday, March 19, 2009 8:08 AM
> Subject: Re: [amibroker] Re: Simple slippage implemented in CBT generates COM error
>
>
> Tomasz Janeczko wrote:
> Hello,
>
> You need to call ProcessTradeSignals.
>
> BTW: it is easier to just define custom commission table (AA->Settings "Commission table: Define...")
> that includes slippage than wresting with code.
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> Hello Tomasz,
>
> I would deeply appreciate if you provided an example on how to adjust Exits in CBT in order to account for spread and slippage.
>
> For FX scalping systems backtesting (takeProfit = 2-3 pips. ) , I think it is crucial to be able to do this since all depends on spread and slippage (if commissions ==0).
>
> Unfortunately, the code I have come up with is not quite working :
>
> // EURUSD example
> // price = (bid+ask)/2
>
> 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" );
>
>
> slippage = 0.0001;
> spread = 2 * 0.0001;
>
>
>
>
> 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 ) // bid pricebound check
> {
> sig.price = TrueExit;
> // bo.ExitTrade( BAR, sig.Symbol, sig.Price );
> }
> else
> sig.price = -1;
>
>
>
> }
> else // Exit short
> {
> TrueExit = sig.price + slippage;
>
> if ( TrueExit >= lo[bar] + 0.5*spread && TrueExit <= hi[bar] + 0.5*spread ) // ask pricebound check
> {
> sig.price = TrueExit;
> //bo.ExitTrade( BAR, sig.Symbol, sig.Price );
> }
> else
> sig.price = -1;
>
> }
> }
> }
>
> bo.ProcessTradeSignals( bar );
>
> bo.handlestops( bar );
>
> }
>
> for ( trade = bo.GetFirstTrade(); trade; trade = bo.GetNextTrade() )
> {
> trade.addcustommetric( "numPips", ( trade.exitprice - trade.entryprice ) / trade.ticksize );
> }
>
> bo.PostProcess();
> }
>
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