Thanks GP for pointing that out. I been fooling around with the code all weekend long and inadvertantly posted the wrong one. The problem is that it produces error on that line.
--- In [email protected], "gp_sydney" <[EMAIL PROTECTED]> wrote: > > I've only had a quick glance through your code, but it looks like > you're testing for the profit being greater than 15%, not the loss. > > I think the sell signal generated by ApplyStop should include reason > code 1 for maximum loss. Try checking that. > > Regards, > GP > > > --- In [email protected], "tipequity" <l3456@> wrote: > > > > 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)); > > >
