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Hello,
If anytime during the day the loss of position exceeds 99.97% then it is
automatically exited marking ruin (total lost of funds).
In your case you have shorted stock at $14.32
and later on High was $28.76.
Currently ruin stop has precedence over all other kinds of stops.
I may provide a setting to change this in the future.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "tycanadian2003" <tyler.schlosser@xxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Sunday, June 26, 2005 10:39 AM
Subject: [amibroker] Re: Backtest Behavior Question/Problem
> 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
>> |
>> |
>> |
>> |
>> |
>> |
>
>
>
>
> 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
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