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Hello all,
Could someone please help me to understand why my stop and profit targets are not working correctly in backtesting?
I have a basic system I am trying to backtest - it buys at the previous day's high/sells at the previous day's low and exits with a stop loss or a profit target of 50 pips/ticks. I have this running on 1M intra-day EURUSD data.
The problem is that my exits in a backtest range from +/-50 ticks (+/-0.0050) to +/-51 ticks (+/-0.0051). I don't understand why or what I am doing wrong.
Why is the code exiting at 51 ticks instead of 50?
Here is the code: (Note that I only have this going long right now.)
//...........................................................SYSTEM
//...................Settings
SetOption("AllowSameBarExit", True);
SetOption("ActivateStopsImmediately", False );
SetOption("FuturesMode", True);
SetOption("PriceBoundChecking", True);
SetPositionSize(1,spsShares);
//...................Trade Logic
//Set Previous Day's High
TimeFrameSet( inDaily );
B_ENT = Ref(H,-1);
TimeFrameRestore();
BB_ENT = TimeFrameExpand (B_ENT, inDaily, expandFirst);
//Execute Buy @ Previous Day's High
Buy = Cross (H, BB_ENT);
Sell = 0;
Buy = ExRem(Buy,TimeNum()==180000);
BuyPrice = BB_ENT;
//...................STP & TGT
ApplyStop(stopTypeLoss, stopModePoint, 0.00500, 1, True, 0);
ApplyStop(stopTypeProfit, stopModePoint, 0.00500, 1, True, 0);
//...........................................................PLOT
//...................Chart Settings
SetChartOptions(0,chartShowDates);
_N(Title = (Name() + " | " + Date() + " | Open: " + O + " | " + "High: " + H + " | " + "Low: " + L + " | " + "Close: " + C));
//...................Plot Price
Plot( C, "Close", colorBlack, styleBar);
PlotShapes(Buy*shapeUpArrow,colorGreen,0,L);
PlotShapes(Sell*shapeDownArrow,colorRed,0,H);
Equity(1,0);
PlotShapes( (Sell>0)* shapeDownArrow, colorRed, 0, H );
//...........................................................COMMENTARY
printf("HIGH : ");
WriteVal(BB_ENT,1.5);
Here is link to a screen shot that shows what is happening:
http://img246.imageshack.us/img246/5209/eurusdissue.jpg
You can see there wasn't a gap or anything; the backtest just exits at 51 ticks over instead of 50 ticks over.
I am new to AmiBroker coming from TradeStation, so I presume I am doing something wrong. This isn't a system that I trade; I use it as a baseline system to evaluate other systems against. If I can figure this out, I can start to move my other work over.
I have searched the list, looked through help and tried changing every setting I can think of but I can't get the code to consistently exit at a fixed stop/profit target of 0.0050. I would be seriously grateful if anyone could take a look and tell me what I am doing wrong as I have hit a wall with this.
Thanks,
Tim
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