Hi all.
I'm trying to plot the trailing stop used by the ApplyStop() function
but had no success so far. Consider this simple system:
---------------------snip-------------------
SetOption("InitialEquity", 100000);
BuyPrice = SellPrice = Open;
SetTradeDelays(1, 1, 1, 1);
Buy = Cross(Signal(), MACD());
Sell = Cross(MA(C, 200), C);
TS = 4 * ATR(20);
ApplyStop(stopTypeTrailing, stopModePoint, TS, 1, TRUE);
#include "Formulas/Basic Charts/Price.afl";
Plot(High - TS, "Trailing Stop", colorRed, styleDots | styleNoLine);
---------------------snip-------------------
For example, when I run this system on DJI from 2003 to 2007, I get a
trade started on 2006-08-14 with entry price equals to 11089.10. This
trade ends by triggering the backtester trailing stop in 2007-02-27 with
exit price at 12148.50.
However, the trailing stop plot never reach the 12148.50 value exactly.
Actually, the highest value of the trailing stop plot since trade start
is 12237.11 (at 2007-02-20), which is higher than backtester exit price!
Another example:
Entry: 2004-09-21 @ 10204.50
Exit (trail): 2005-03-29 @ 10373.50
If following plot: trailing stop reached 9732.29 in 2004-10-04, which
would cause the trade to be stopped much earlier in 2004-10-25.
(Note: I'm using Yahoo free EOD data -- if you use another feed then
your numbers may be different.)
This is frustating because I developed and optimized a system that
perform somewhat well in the backtester, but I can't apply it in real
life because I don't know how to move the stops in my broker to match
the values used by AB.
So... what's wrong in my code? How to plot the ACTUAL price that
ApplyStop(stotTypeTrailing, stopModePoint...) consider when exiting trades?
Thanks in advance.
--
Flávio
