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I have a program, for loop, that can have two outstanding trades. I
will take one trade when the market moves up or down 4% and another
trade when the market moves in the same direction another 5%. Then I
close both traces when the market rolls over 4% and at the same time
take one position in this new trend.
My problem is that when I run back test the trades at the 5% point
are not recorded, or the trades sheet does not show them. How can I
set the back test settings to show all trades? Currently the
settings are set as follows:
Initial Equity: 5000 Periodicity/Positions: Weekly/Long Short
Commissions: 7.00 per trade Annual interest rate: 0.00%
Range: 1/1/1994 00:00:00 - 10/31/1998 Apply to: Current Symbol
Margin requirement: 99.999 Futures mode: No
Def. round lot size: 1 Def. Tick Size 0
Drawdowns based on: Open prices
Long trades
Buy price: Close Sell price: Close
Buy delay: 0 Sell delay: 0
Short trades
Short price: Close Cover price: Close
Short delay: 0 Cover delay: 0
Stops
Maximum loss: disabled Profit target: disabled
Value: 2.00 Value: 10.00
Exit at stop? yes Exit at stop? yes
Trailing stop: disabled
Value: 10.00
Exit at stop? yes
This is the trade list:
Trade list Ticker Trade Entry Exit % change Profit Shares Pos. value
Cum. profit # bars Profit/bar MAE/MFE
^RUT Short (121) 3/31/1994
251.06 8/19/1994
249.69 -0.55% 12.03
0.25% 19 4770.14 12.03 21 0.57 -6.14%
5.11%
^RUT Long (121) 8/19/1994
249.69 11/11/1994
249.38 -0.12% -20.20
-0.40% 20 4993.80 -8.17 13 -1.55 -1.08%
4.25%
^RUT Short (116) 11/11/1994
249.38 12/23/1994
244.73 -1.86% 74.35
1.57% 19 4738.22 66.18 7 10.62 -1.65%
6.21%
^RUT Long (45) 12/23/1994
244.73 10/6/1995
301.82 23.33% 1127.80
23.04% 20 4894.60 1193.98 42 26.85 -1.96%
29.52%
^RUT Short (53) 10/6/1995
301.82 12/1/1995
309.74 2.62% -172.40
-2.86% 20 6036.40 1021.58 9 -19.16 -2.84%
3.50%
But the program has trades as follows: ( this is actually the excel
output of a C++ program I am trying to dupliate in AB. But the AB
program also shows the folowing trades on the explore sheet.)
Date Position Ticker Gain
19940331 Sell 250.98 0.549845
19940819 Buy 249.6 -0.180288
19941111 Sell 249.15 0
19941209 Sell 235.09 -2.18598
19941223 Buy 244.56 0
19950303 Buy 256.83 41.33
19951006 Sell 302.32 -2.54035
As you can see there are 2 sells in a row followed by 2 buys in a
row. But the Trades sheet does not show the second trade of the same
type, i.e. it does not show the trade for 12/9/94 or 3/3/95. What do
I need to do to have these trades added to the output?
I was not sure about the margin setting. The progran takes 100% of
the portfolio on the first trade and then 100% margin on the second
trade. So I set the margin to 99.999%.
Since I am trading right after the close I used 0 delay.
What am I doing wrong? Why won't the back test show all trades?
Thanks,
Barry
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