[amibroker] Re: a bug in portfolio tester?

["stevensg2009" <liguoyi@xxxxxxxxx>]

Tomasz,

I took a look of my code really hard, and found the possible reason. My code set backtester mode to "backtestRegularRaw". For this mode, if there are multiple buy before sell, the example code for scale in and out below seems not to work. I think the code cannot determine the priceatbuy and highsincebuy properly. The reason is we don't know when the trade will be entered until portfolio test is done. Am I understanding this correctly? Is there a sample code for backtestRegularRaw mode? 

Many thanks,
Steven

// the system will exit 
// 50% of position if FIRST PROFIT TARGET stop is hit 
// 50% of position is SECOND PROFIT TARGET stop is hit 
// 100% of position if TRAILING STOP is hit 

FirstProfitTarget = 10; // profit 
SecondProfitTarget = 20; // in percent 
TrailingStop = 10; // also in percent 

priceatbuy=0; 
highsincebuy = 0; 

exit = 0; 

for( i = 0; i < BarCount; i++ ) 
{ 
   if( priceatbuy == 0 AND Buy[ i ] ) 
    { 
       priceatbuy = BuyPrice[ i ]; 
    } 

   if( priceatbuy > 0 ) 
    { 
       highsincebuy = Max( High[ i ], highsincebuy ); 

      if( exit == 0 AND 
          High[ i ] >= ( 1 + FirstProfitTarget * 0.01 ) * priceatbuy ) 
       { 
         // first profit target hit - scale-out 
         exit = 1; 
         Buy[ i ] = sigScaleOut; 
       } 

      if( exit == 1 AND 
          High[ i ] >= ( 1 + SecondProfitTarget * 0.01 ) * priceatbuy ) 
       { 
         // second profit target hit - exit 
         exit = 2; 
         SellPrice[ i ] = Max( Open[ i ], ( 1 + SecondProfitTarget * 0.01 ) * priceatbuy ); 
       } 

      if( Low[ i ] <= ( 1 - TrailingStop * 0.01 ) * highsincebuy ) 
       { 
         // trailing stop hit - exit 
         exit = 3;    
         SellPrice[ i ] = Min( Open[ i ], ( 1 - TrailingStop * 0.01 ) * highsincebuy ); 
       } 

      if( exit >= 2 ) 
       { 
         Buy[ i ] = 0; 
         Sell[ i ] = exit + 1; // mark appropriate exit code 
         exit = 0; 
         priceatbuy = 0; // reset price 
         highsincebuy = 0; 
       } 
    } 
} 

SetPositionSize( 50, spsPercentOfEquity ); 
SetPositionSize( 50, spsPercentOfPosition * ( Buy == sigScaleOut ) ); // scale out 50% of position




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