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Hi,
It didn't gap up close to 100% or even 50%, so there's no reason why
the loss should be 100% instead of the correct 50%. Basically, the
stock opened at a reasonable price and then shot up and closed at a
high price. This day, the day where the stock shot up over 100%,
was the first possible exit point (vi stop loss). No other exit
signals were generated before it, and in other similar situations
(but without a 100% single-day change), the backtester behaves
properly. It is only because of this 100% "ruin stop" thing that it
seems to be misbehaving. Also, this 100% rule seems silly since
this trade is a short and if someone has 20 positions in their
portfolio, this means they only lose 5% of their overall equity
assuming equal money distribution.
Any further ideas? Tomasz, do you know why this might be happening?
--- In amibroker@xxxxxxxxxxxxxxx, "Terry" <MagicTH@xxxx> wrote:
> 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
> |
> |
> |
> |
> |
> |
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