UPS!. The image does not appear!
Well this is, written, my backtest:
Ticker-- Trade-- date--- price-- Exdate-------exprice--%chg--
%profit
AA-- MaxLoss 10-Nov-05 --26.25--18-sep-08- 23.5 -10.48%
-10.51%
AA-- MAxloss 21-jul-05 28.7 23-sep-05 24
-16.38% -16.41%
The problem: there is always a little difference between stop and the profit..
--- In [email protected], "Gonzaga" <gonzag...@...> wrote:
>
> 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" <sfclimbers@> 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
> > > > > > > >
> > > > > > > >
> > > > > >
> > > > >
> > > >
> > >
> >
>
