I have studied all the docs regarding custom backtester interface. I
wrote the code but it does not do what I want. Could anyone please
look at it what the problem is. Thank you, Zozu
///////Stop Loss based on portfolio equity/////////////
StopLossEq=Optimize( "StopLossEq", 10, 1, 7, 0.5 );
SetCustomBacktestProc("");
if (Status("action") == actionPortfolio)
{
bo = GetBacktesterObject(); // Get backtester object
bo.PreProcess(); // Do pre-processing
MaxEq=bo.Equity;
for (i = 0; i < BarCount; i++) // Loop through all bars
{
if (i>0 && bo.Equity>MaxEq) MaxEq=bo.Equity;
for (sig = bo.GetFirstSignal(i); sig; sig = bo.GetNextSignal
(i))
{ // Loop through all signals at this bar
if (sig.IsEntry()) // Process entries
{
bo.EnterTrade(i, sig.Symbol, True,
sig.Price,sig.posSize); }
else
{
if (sig.IsExit()) bo.ExitTrade(i, sig.Symbol,
sig.Price); // Process exits
}
} // End of for loop over signals at this bar
bo.HandleStops(i);// Handle programmed stops at this bar
for (trade = bo.GetFirstOpenPos(); trade; trade =
bo.GetNextOpenPos())
{ // Loop through all open positions
if (bo.Equity<(1-StopLossEq/100)*MaxEq) bo.ExitTrade(i,
trade.Symbol, trade.GetPrice(i+1,"O"),5);//ExitType=ruin
} // End of for loop over trades at this bar
bo.UpdateStats(i, 1); // Update MAE/MFE stats for bar
bo.UpdateStats(i, 2); // Update stats at bar's end
} // End of for loop over bars
bo.PostProcess(); // Do post-processing
}
--- In [email protected], "Mike" <[EMAIL PROTECTED]> wrote:
>
> Refer to "AmiBroker Custom Backtester Interface.pdf" in the Files
> section of this group, posted by gp_sydney:
>
> http://f1.grp.yahoofs.com/v1/4MUQScTOe79GNNV-
>
ZkLEVgZrQsvpi7UryW1IV34jAcr5MrdKVujCnYWixQTKH2jURoJKyDJobZlG0ZMwEvdBvx
> nggD5xMLok/AmiBroker%20Custom%20Backtester%20Interface.pdf
>
> You can monitor portfolio equity on a bar by bar basis in custom
> backtester code. If equity falls below your threshold, iterate
through
> the list of open positions and close them out using the low level
> custom backtester API:
>
> http://www.amibroker.com/guide/a_custombacktest.html
>
> Mike
>
> --- In [email protected], "zozuzoza" <zozuka@> wrote:
> >
> > Thanks, the example works on single stock equity. I am looking
for
> > portfolio equity.
> >
> > To correct my question
> > How could I code a stop loss based on portfolio equity? If the
> > portfolio equity drops 5%, close the positions.
> >
> > Has anybody come accross this problem?
> >
> > Thank you.
> >
> > Best regards,
> > zozu
> >
> > --- In [email protected], reinsley <reinsley@> wrote:
> > >
> > > Hi,
> > >
> > > Howard B gave an exemple in this topic :
> > >
> > > http://finance.groups.yahoo.com/group/amibroker/message/130567
> > >
> > > Best regards
> > >
> > > zozuzoza a écrit :
> > > >
> > > > How could I code a stop loss based on equity? If the equity
> drops
> > 5%,
> > > > close the positions.
> > > >
> > > > Thanks a lot,
> > > > zozu
> > > >
> > >
> >
>
