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Thanks for clearing that up, Tomasz. I'm glad I understand things
now. However, I would definitely appreciate/use a feature where
this could be overridden, since my stop would have prevented this
100% loss in real life (probably). Also, on the short side, losses
of over 100% are possible, and if I am testing a trading system that
holds many positions at once, it would be good to know how much I
actually would have lost. Either way, it's a fairly small thing,
but I'd put this forward as a personal request for inclusion in
later versions. Thanks again!
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <amibroker@xxxx>
wrote:
> 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@xxxx>
> 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
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