|
PureBytes Links
Trading Reference Links
|
Check to see if the stop was reached when the first possible exit was
the 100% loss.
--
Terry
| -----Original Message-----
| From: amibroker@xxxxxxxxxxxxxxx
| [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of tycanadian2003
| Sent: Saturday, June 25, 2005 15:46
| To: amibroker@xxxxxxxxxxxxxxx
| Subject: [amibroker] Re: Backtest Behavior Question/Problem
|
|
| Thanks for the info, Terry. I figured it was something to do with
| either a "split warning" or a "100% or greater loss". However, that
| still doesn't explain why my 50% stop didn't kick in. Any ideas on
| this?
|
| --- In amibroker@xxxxxxxxxxxxxxx, "Terry" <MagicTH@xxxx> wrote:
| > Short (6). 6 is the "ruin loss" stop code. If you lost 100% on a
| single
| > trade you would have a "ruin stop".
| >
| > --
| > Terry
| >
| >
| > | -----Original Message-----
| > | From: amibroker@xxxxxxxxxxxxxxx
| > | [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of tycanadian2003
| > | Sent: Friday, June 24, 2005 05:58
| > | To: amibroker@xxxxxxxxxxxxxxx
| > | Subject: [amibroker] Backtest Behavior Question/Problem
| > |
| > |
| > | Hi,
| > |
| > | Glad to see the threads on performance were of interest to so
| many
| > | people. Anyhow, I have a new question!
| > |
| > | I have a play-system that I run a backtest for over the last 10
| > | years. On 8/18/1999, it Shorts the stock "DITC" at a price of
| > | $14.32. In my code, I have a 50% intraday max-loss stop,
| > | ActivateStopsImmediately = TRUE, ExitAtStop = 1. On 8/20/1999,
| the
| > | day's data is as follows:
| > |
| > | Open = $20.50
| > | Close = $28.19
| > | Low = $20.28
| > | High = $28.76
| > |
| > | The Backtester exits the stock at a price of $28.64 (exactly
| double)
| > | and beside the word "Short" in the "Trade" column, there is
| a "(6)",
| > | so it looks like "Short (6)". I have checked and this stock did
| not
| > | split or anything. With my 50% stop, it should have exited at
| $21.48
| > | on 8/20/1999. My stop works properly on dozens of other
| occasions on
| > | many other stocks in the same backtest, but it seems that when a
| > | stock goes bad by over 100% in a single bar, strange things
| happen
| > | with the Backtester.
| > |
| > | Interestingly, even if I remove my max-loss stop (and my code
| should,
| > | in theory, exit the following bar, 8/23/1999, at open), it STILL
| > | exits on 8/20/1999 with a "Short (6)" in the "Trade" column at
| $28.64
| > | for a loss of exactly 100%.
| > |
| > | This also happens in other situations, but I figured I'd just
| pick
| > | this one as an example.
| > |
| > | How can I make the Backtester behave correctly in this
| situation? I
| > | am stumped. Any input is welcome. Thanks!
| > |
| > |
| > |
| > |
| > | Please note that this group is for discussion between users only.
| > |
| > | To get support from AmiBroker please send an e-mail directly to
| > | SUPPORT {at} amibroker.com
| > |
| > | For other support material please check also:
| > | http://www.amibroker.com/support.html
| > |
| > |
| > | Yahoo! Groups Links
| > |
| > |
| > |
| > |
| > |
| > |
|
|
|
|
| Please note that this group is for discussion between users only.
|
| To get support from AmiBroker please send an e-mail directly to
| SUPPORT {at} amibroker.com
|
| For other support material please check also:
| http://www.amibroker.com/support.html
|
|
| Yahoo! Groups Links
|
|
|
|
|
|
Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For other support material please check also:
http://www.amibroker.com/support.html
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|