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Owen,
this might me caused due to:
"If two or more different stops are triggered on
the VERY SAME bar then they are evaluated in this fixed order:
Fixed Ruin
stop (loosing 99.96% of the starting capital)
Max. loss stop
Profit target
stop
Trailing stop
N-bar stop"
see:
rgds, Ed
--- Original Message -----
Sent: Friday, December 17, 2004 6:06
PM
Subject: [amibroker] Oddity with
ApplyStop
I've been experimenting with exits and have encountered
something I may
not understand. As a reference for evaluating other exits,
I told
Automatic Analysis to close trades on the following open:
Sell=Ref(Buy,-1); SellPrice=O; and the obvious equivalent for Short
trades. I did this after experimenting with another exit and
inadvertently left a profit-taking stop in place:
ApplyStop(1,2,N*TickSize); The odd thing is that, even when entering
on
the close of one bar and exiting on the next open, the N in the
ApplyStop function changes the trading results. If this file
included
after-hours data, I'd assume the stop was reacting to it, but
that is
not the case.
The only explanation I can think of is that
ApplyStop is incompatible
with any exit other than on the close. It
is ignoring the Exit-on-Open
and finding its profit later in the
day. Thus, only the days that never
offer a profit of N*TickSize are
being closed correctly, and my trading
results are garbage. And the
same thing happens in "real" exits that
are supposed to exit on the Open
if the trade has gone on too long
without either taking a profit or being
closed at a loss.
Does this make sense to anyone? And is my only
recourse to write my own
exits using loops?
Thanks.
Owen
Davies
Check AmiBroker web page at:
http://www.amibroker.com/
Check
group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Check AmiBroker web page at:
http://www.amibroker.com/
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
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