How can test to see of max loss percent has been met (using CBI)? Below is my feeble attempt. Thanks in advance
/*====================================================================
==========
Global Settings
======================================================================
========*/
SetBarsRequired(1000000,0); /* this ensures that the charts include
all bars AND NOT just those on screen */
SetFormulaName("System Four with Stochastics-6"); /* name it for
backtest report identification */
SetOption("InitialEquity", 100000); /* starting capital */
SetOption("CommissionAmount",8); /* commissions AND cost */
SetOption("CommissionMode", 2); /* set commissions AND costs as $ per
trade */
SetTradeDelays( 1, 1, 1, 1);
SetOption("PriceBoundChecking", 1); /* trade only within the chart
bar's price range */
SetOption("UsePrevBarEquityForPosSizing", 1); /* set the use of last
bars equity for trade size */
/* SetOption("MinPosValue", ); */
SetOption("AllowPositionShrinking", True);
SetOption("MinShares", 100);
SetOption("AccountMargin", 100);
SetOption("HoldMinBars",2 ); /* Set Minimun Holding Days to 2 Days*/
RoundLotSize = 1 ;
PositionSize = - 10; /* trade size will be 10% of available equity */
MaxLossPercentStop = 15 ;
ApplyStop(0, 1, MaxLossPercentStop, 0, False, 0);
SetBacktestMode( backtestRegularRaw );
/*====================================================================
==========
======================================================================
========*/
TradeDate = DateTime();
SetCustomBacktestProc("");
MaxBuys = 3; // Set no more than 4 buys per day
if( Status("action") == actionPortfolio )
{
bo = GetBacktesterObject();
bo.PreProcess();
Symbol = " ";
TransType = "";
CommissionAmount = 8;
SEC_Fee = 0;
Rank = 0;
TradeSize = 0;
Shares = 0;
TransAmount = 0;
Reason = 0;
Price = 0;
CashBal = bo.InitialEquity;
EquityBal = bo.Equity;
ProfitPercent = 0;
for( i = 0; i < BarCount; i++ )
{
cntBuys = 0;
// look at new signals and exclude signals if they exceed maxBuys
for( sig = bo.GetFirstSignal(i); sig; sig =
bo.GetNextSignal(i) )
{
EquityBal = bo.Equity;
// check for Sell signal
if (sig.IsExit() AND sig.Type == 2 )
{
// scan through open positions
OpenPos = bo.FindOpenPos(
sig.Symbol );
// check for entry signal and long
signal
if (OpenPos.GetPercentProfit()>15)
{
Symbol = sig.Symbol;
TransType = "Sold";
Shares = OpenPos.Shares;
Price = sig.Price;
SEC_Fee = round((OpenPos.Shares *
Price)*(1530/1000000))/100;
CommissionAmount = 8 + SEC_Fee;
TransAmount = (OpenPos.Shares *
Price)- CommissionAmount;
CashBal = CashBal + TransAmount;
ProfitPercent =
OpenPos.GetPercentProfit();
Reason = "MaxLossPercentStop";
Rank = "";
bo.RawTextOutput(
Symbol +
"\t" + cntBuys +
"\t" + TransType +
"\t" + DateTimeToStr(TradeDate[ i ]) +
"\t" + Price +
"\t" + "Shares " + Shares +
"\t" + "Commission " + CommissionAmount +
"\t" + "Amount " + TransAmount +
"\t" + "PosSize " + TradeSize +
"\t" + "CashBal " + CashBal +
"\t" + "Cash " + bo.Cash +
"\t" + "EquityBal " + EquityBal +
"\t" + "Reason " + Reason +
"\t" + "Profit% " + ProfitPercent +
"\t" + Rank
);
}
else if( openpos AND openpos.IsLong )
{
Symbol = sig.Symbol;
TransType = "Sold";
Shares = OpenPos.Shares;
Price = sig.Price;
SEC_Fee = round((OpenPos.Shares *
Price)*(1530/1000000))/100;
CommissionAmount = 8 + SEC_Fee;
TransAmount = (OpenPos.Shares *
Price)- CommissionAmount;
CashBal = CashBal + TransAmount;
Reason = sig.Reason;
Rank = "";
bo.RawTextOutput(
Symbol +
"\t" + cntBuys +
"\t" + TransType +
"\t" + DateTimeToStr(TradeDate[ i ]) +
"\t" + Price +
"\t" + "Shares " + Shares +
"\t" + "Commission " + CommissionAmount +
"\t" + "Amount " + TransAmount +
"\t" + "PosSize " + TradeSize +
"\t" + "CashBal " + CashBal +
"\t" + "Cash " + bo.Cash +
"\t" + "EquityBal " + EquityBal +
"\t" + "Reason " + Reason +
"\t" + "Profit% " + ProfitPercent +
"\t" + Rank
);
}
}
// check for entry signal
}
bContinue = True;
for( sig = bo.GetFirstSignal(i); sig; sig =
bo.GetNextSignal(i) )
{
if( sig.IsEntry() )
{
Symbol = sig.Symbol;
TradeSize = (bo.Equity / -
sig.PosSize);
Shares = round(TradeSize/sig.Price);
Price = sig.Price;
if( cntBuys > MaxBuys )
{
sig.PosSize = 0;
TransType = "Rejected";
Reason = "Exceed Max No.
Trades per Day";
bo.RawTextOutput(
Symbol +
"\t" + cntBuys +
"\t" + TransType +
"\t" + DateTimeToStr(TradeDate[ i ]) +
"\t" + Price +
"\t" + "Shares " + Shares +
"\t" + "Commission " + CommissionAmount +
"\t" + "Amount " + TransAmount +
"\t" + "PosSize " + TradeSize +
"\t" + "CashBal " + CashBal +
"\t" + "Cash " + bo.Cash +
"\t" + "EquityBal " + EquityBal +
"\t" + "Reason " + Reason +
"\t" + "Profit% " +
"\t" + Rank
);
}
else
{
TransType = "Bought";
cntBuys = cntBuys + 1;
TransAmount = -(Shares *
Price)-CommissionAmount;
CashBal = CashBal +
TransAmount;
Reason = sig.Reason;
Rank = sig.PosScore;
bo.RawTextOutput(
Symbol +
"\t" + cntBuys +
"\t" + TransType +
"\t" + DateTimeToStr(TradeDate[ i ]) +
"\t" + Price +
"\t" + "Shares " + Shares +
"\t" + "Commission " + CommissionAmount +
"\t" + "Amount " + TransAmount +
"\t" + "PosSize " + TradeSize +
"\t" + "CashBal " + CashBal +
"\t" + "Cash " + bo.Cash +
"\t" + "EquityBal " + EquityBal +
"\t" + "Reason " + Reason +
"\t" + "Profit% " +
"\t" + Rank
);
}
}
}
bo.ProcessTradeSignals( i );
}
bo.PostProcess();
}
//fast = Optimize("fast", 12, 5, 20, 1 );
//slow = Optimize("slow", 26, 10, 25, 1 );
Buy=Cross(MACD(12,26),Signal(12,26));
Sell=Cross(Signal(12,26),MACD(12,26));
