Thanks a lot, Mike, you're very kind! [:)] I have tried the code as
you've posted. I buy in the same dates as you, but, the stops sells
sligthly more cheap, I don't know why!I thought could be my commissions
table, but I have get it out, and the problem still there..This is my
backtest:
As you see, the 23 september 2005, the stop sells in 24$, but the open
is 24.1$. And the rest of the stops sell slightly wrong..
Why? No idea. Something related my initial capital?
Anyway, it's posible that I give up the predefined stops, and try to
program my own in do while loops.. So I will be sure of the behaviour. I
hope.
Thanks a lot
--- In [email protected], "Mike" <sfclimb...@...> wrote:
>
> Hi,
> I haven't done much with ApplyStop. But, the scenario that you are
> trying to accomplish is provided as an example in the user guide here:
> http://www.amibroker.com/guide/afl/afl_view.php?id=20
> <http://www.amibroker.com/guide/afl/afl_view.php?id=20>
> <http://www.amibroker.com/guide/afl/afl_view.php?id=20> You can add
the
> following line to your code, just to be sure:SetOption(
> "ActivateStopsImmediately", true );
> For testing purposes, remove all Sell rules by replacing your Sell
logic
> with Sell = false;
> Also, you should add a Plot for the price and then look at the
> individual trades to see why you are getting losses greater than you
> expected.
> Most likely, the stock has gapped down (i.e. opened below your stop
> price) and you are immediately getting stopped out at the lower price.
> An example of this can be seen by running your code on the symbol AA
in
> the default AmiBroker database (Data);
> Run a backtast over all quotations for single symbol AA, you will see
4
> trades and one remaining open position. 3 of the 4 trades stopped out
at
> exactly -10%, as per your code. 1 trade stopped out at -15.57% (entry
> Jul 21/2005, exit Sept 23/2005). Looking at the chart you will see
that
> AA opened way below your stop price on Sept 23. AmiBroker applied the
> stop at the open, exactly as your broker would have.
> The revised code looks like this:
> SetOption( "ActivateStopsImmediately", true );
> SetTradeDelays( 1, 1, 1, 1 );
> ExitPct = 10;
> ApplyStop( stopTypeLoss, stopModePercent, ExitPct, 1 );
> //CONDITIONS---------------------------------------
> Cond1 = Cross( MA( C, 10 ), MA( C, 50 ) );
> //LONG------------------------------------
> Buy = Cond1;
> BuyPrice = Open; //open next bar!
> Sell = false; //Sell = Cross( MA( C, 50 ), MA( C, 10 ) );
> SellPrice = Open ;
> //END OF CODE----------------------
>
> _SECTION_BEGIN( "Price1" );
> SetChartOptions( 0, chartShowArrows | chartShowDates );
> _N( Title = StrFormat( "{{NAME}} - {{INTERVAL}} {{DATE}} Open %g, Hi
%g,
> Lo %g, Close %g (%.1f%%) {{VALUES}}", O, H, L, C, SelectedValue( ROC(
C,
> 1 ) ) ) );
> Plot( C, "Close", ParamColor( "Color", colorBlack ), styleNoTitle |
> ParamStyle( "Style" ) | GetPriceStyle() );
> _SECTION_END();
> If you're still having trouble, post the exact formula being run on
> exactly which symbols over exactly which dates stating exactly which
> trades are not behaving as you expect.
> Mike
> --- In [email protected], "Gonzaga" gonzagags@ wrote:
> >
> > Grrrr!
> > I am crazy with stops.
> > I can not find any sense on them..
> > Just this code:
> > //--------------------------
> > SetTradeDelays(1,1,1,1);
> > ExitPct =10;
> > ApplyStop(stopTypeLoss, stopModePercent, ExitPct, 1); //
> > //CONDITIONS---------------------------------------
> > Cond1=Cross(MA(C,10),MA(C,50));
> > //LONG------------------------------------
> > Buy= Cond1;
> > BuyPrice=Open; //open next bar!
> > Sell=Cross(MA(C,50),MA(C,10));
> > SellPrice=Open ;
> > //END OF CODE----------------------
> > I cannot imagine something easier! Two conditions to open and close,
> and a stoploss.
> > Well, the stops work as they want.
> > First, which have the preference: "Allow exit in the same bar" or
> "activate stops immediately"?
> > And both are preferred over the 4th parameter of the applyStop? or
> not?
> >
> > But anyway, if the exitPct is -10%.. Why Amibroker close the
position
> not in -10%, but, -10.5%, -11% or so?
> >
> > I begin to be tired.. Couldn't be this easier?
> >
> > puf... anyone knows TradeStation and its EASYlanguage? could be an
> alternative?
> > Tired greetings
> >
> >
> >
> > --- In [email protected], "Gonzaga" gonzagags@ wrote:
> > >
> > > Thanks for testing the code.
> > > I have tested your tweaked code also, using a portfolio of stocks,
> or even just one stock.
> > > For example, in EOD bars, this code buys GRA on 6th feb2009,
selling
> in the same bar in a profit stop on 6th Feb. Ok.
> > > But, it sells with 4.65% change (4.5% profit), nearly in the high
of
> the day
> > > So, it is supposed to close the position on 1% profit, isn't it?
> > > So?
> > > And, the stop loss has similar problems, closing positions on the
> same bar lower than -1% loss..
> > > We can not trigger stops in the same buying bar ?
> > > I think I'm gonna program my own stops..
> > > mmm..
> > > greetings
> > >
> > >
> > >
> > >
> > > --- In [email protected], "progster01" <progster@> wrote:
> > > >
> > > > Your code seems to work for me here.
> > > >
> > > > Here it is again, just slightly tweaked:
> > > >
> > > > //SETTINGS--->
> > > > PosQty=Param("Posiciones",10,1,20,1);
> > > > SetOption("InitialEquity", 1000000 );
> > > > SetOption("AllowPositionShrinking", True );
> > > > SetOption("MaxOpenPositions", PosQty );
> > > > SetOption ("accountmargin",100);
> > > > PositionSize = -100/(posqty);
> > > >
> > > >
> > > > Buy = Sell = Short = Cover = 0 ;
> > > > //-----------
> > > >
> > > > ExitPct = Param( "ExitPct", 1, .1, 10, .1 ) ;
> > > >
> > > > SetTradeDelays(1,1,1,1);//buy after signal
> > > > ApplyStop(stopTypeProfit, stopModePercent, ExitPct, 1); //exit
> intraday on same bar at 2%
> > > > ApplyStop(stopTypeLoss, stopModePercent, ExitPct, 1); //exit
> intraday on same bar at 2%
> > > >
> > > > //CONDITIONS---------------------------------------
> > > > Cond1=Cross(MACD(12,26),0);
> > > >
> > > > //long entry-----------------------------
> > > > PositionScore= 100-StochK(15,3);
> > > > Buy= Cond1;
> > > > // BuyPrice=Open*1.001; //in open next bar!
> > > > BuyPrice=Open ; //in open next bar!
> > > >
> > > > Sell=Cross(Signal(12,26,9),MACD(12,26));//sell in open next bar
> > > > // SellPrice=Open*0.999;
> > > > SellPrice=Open ;
> > > >
> > > >
> > > > Buy=ExRem(Buy,Sell); Sell=ExRem(Sell,Buy);
> > > >
> > > > //------------END OF CODE------------------
> > > >
> > > >
> > > > Notes:
> > > >
> > > > 1. My AB 5.3 install requires Buy, Sell, Stop, and Cover to all
> be defined.
> > > >
> > > > 2. I use the Open for BuyPrice and SellPrice. If you multiply
> the Open you could wind up with a price that does not exist during
that
> bar.
> > > >
> > > > 3. I parameterized the ExitPct, and added the stopTypeLoss.
> > > >
> > > > 4. When I run a backtest, results look good, with rows and rows
> of profit and loss exits at the ExitPct, differing only in the 2nd
> decimal place.
> > > >
> > > > So, I don't know why it isn't working for you ...
> > > >
> > > > - Progster
> > > >
> > > >
> > > > --- In [email protected], "Gonzaga" <gonzagags@> wrote:
> > > > >
> > > > > Thanks for the answer.
> > > > > But I don't understand, yet. I'm sorry, but, suppose the next
> purchase:
> > > > > Using end-of-day bars:
> > > > > The system triggers a buy signal.
> > > > > Then I buy on next day bar, just in the open.
> > > > > Then, the stoploss should 'look the price', selling in the
same
> bar if loss is reached.
> > > > >
> > > > > How could the system knows if the stops triggers before or
after
> the buyprice?
> > > > > Well, If I buy the open price, if the low is less than the
> stoplevel, the system sells.
> > > > > Is that simple, I think I could programm.
> > > > > But I thought that was easier with the stops commands..
> > > > > Where is the mistake?
> > > > > Thanx
> > > > >
> > > > >
> > > > >
> > > > >
> > > > > --- In [email protected], Progster <progster@> wrote:
> > > > > >
> > > > > > Gonzaga,
> > > > > >
> > > > > > If a chart bar is the smallest data unit under test, your
test
> cannot be
> > > > > > accurate if price-based entries and exits take place in the
> same bar.
> > > > > > This is because the path of price inside the bar is not
known.
> > > > > >
> > > > > > Some platforms have an "inside the bar" smallest data unit
> under test
> > > > > > (e.g. testing actually done to the tick level, assuming tick
> data
> > > > > > exists, even though you are observing a Daily chart). This
can
> be
> > > > > > somewhat helpful for visualizing and testing some kinds of
> strategies,
> > > > > > but tests done this way run at tick-bar speed, not at Daily
> bar speed.
> > > > > > In any case, AB does not work this way.
> > > > > >
> > > > > > I recommend testing your system on a low enough timeframe
such
> that
> > > > > > entries and exits never occur on the same bar.
> > > > > >
> > > > > > I also recommend, if you need Daily TA numbers, then run on,
> say, a 5m
> > > > > > chart (or even a 30m chart, depending), and write your code
to
> use AB's
> > > > > > time-compression/expansion to do the Daily-level TA.
> > > > > >
> > > > > > - Progster
> > > > > >
> > > > > >
> > > > > > On 6/16/2010 3:50 PM, Gonzaga wrote:
> > > > > > >
> > > > > > > Well, I have to admit that I don't understand at all the
> stop system
> > > > > > > performed by Amibroker.
> > > > > > >
> > > > > > > I have super-simplified my code, letting only a buy
> condition, and a
> > > > > > > stop, established in the settings dialog, to avoid any
code
> mistake.
> > > > > > > So, I want to have a stoploss or stop profit, for example
> 5%.
> > > > > > > I use settradedelays (1,1,1,1);
> > > > > > > the stops execute in the same bar as stop-loss signal,
using
> the
> > > > > > > parameter in settings "exit intraday at stop(1)",which, as
> help files
> > > > > > > says, "check High-Low prices and exit intraday on price
> equal to stop
> > > > > > > level on the same bar when stop was triggered".
> > > > > > > I also set "activate stops immediately", which is supposed
> that if
> > > > > > > it's activated, "stop is activated after current bar
> signals"
> > > > > > > And I also set to true, (I dont know if it's needed)
"allow
> same bar exit"
> > > > > > >
> > > > > > > Well, my system buys the day after buy signal, at open.
And
> the stop
> > > > > > > should sell in the stoploss limit exactly, at least if the
> stop
> > > > > > > triggers in the same buying bar. If it is in another bar,
> there could
> > > > > > > be a gap that make bigger the loss, of course.
> > > > > > >
> > > > > > > Well, there's no way. I obtain any loss, in the same bar,
in
> different
> > > > > > > bars, and never limit to the stop loss number.
> > > > > > > I understand nothing.
> > > > > > > Does anybody know how to enter at next-bar open, and let
the
> stoploss
> > > > > > > triggers in the same bar of the stop signal?
> > > > > > > Or at least, where is a clear paper explaining the exact
> usage of the
> > > > > > > amibroker's stops??
> > > > > > >
> > > > > > > Thanks a looot
> > > > > > >
> > > > > > >
> > > > >
> > > >
> > >
> >
>
