As a follow up. I think my code for the stops was acceptable. The reason I was
not seeing 10 as the reason for being stopped often is that the worst rank held
was cycling to other stocks before the stops were hit.
--- In amibroker@yahoogroups.com, "radmobile_radmobile" <dan...@...> wrote:
>
> Still hoping that someone here more knowledgeable in the CBT will be able to
> offer some direction. Thank you.
>
> --- In amibroker@yahoogroups.com, "radmobile_radmobile" <danv83@> wrote:
> >
> > I want to exit all trades if the average profit for all the open positions
> > in a portfolio exceeds a specified value. At the end of this message is the
> > code I have come up with, I do not think it is working correctly. The
> > reason I am suspect is that the number of trades I see that show "10" as
> > the reason for exit is only about 1% of all the trades taken. I'd expect
> > the portfolio stop to be triggered more like 40% of the time. I am new to
> > the custom backtester and could really use some help. Thanks!
> >
> >
> > EnableRotationalTrading();
> >
> > Maxp = 3;
> > PositionScore = 1000 - MA( (C/Ref(C,-1)-1),3);
> >
> > PositionSize = -(100/Maxp);
> >
> > SetOption("WorstRankHeld", Maxp+2);
> > SetOption("MaxOpenPositions", Maxp);
> > SetOption("MaxOpenlong", Maxp);
> > SetOption("MaxOpenshort", Maxp);
> >
> >
> >
> > SetOption("UseCustomBacktestProc", True );
> > if( Status("action") == actionPortfolio )
> > {
> > bo = GetBacktesterObject();
> > bo.PreProcess(); // Initialize backtester
> > for(bar=0; bar < BarCount; bar++)
> > {
> > bo.ProcessTradeSignals( bar );
> >
> >
> > SumProfitPer= 0; //reset on every bar
> > NumTrades = 0;
> >
> >
> > for( pos = bo.GetFirstOpenPos(); pos; pos = bo.GetNextOpenPos()
> > )//iterate through all open positions for current bar
> > {
> > SumProfitPer = SumProfitPer + pos.GetPercentProfit(); //sum
> > open profit percent for positions
> > NumTrades++; // count open trades
> >
> > }
> >
> >
> > Avp = (SumProfitPer / NumTrades); //average portfolio profit
> >
> > for( posi = bo.GetFirstOpenPos(); posi; posi = bo.GetNextOpenPos() )
> > //iterate through open positions again
> > {
> > price = posi.GetPrice( bar, "c" );
> >
> >
> > if( Avp >= 1.5 AND NumTrades=Maxp ) // if average profit crosses amount
> > exit all open trades at bar close
> > {
> > bo.exittrade( bar, posi.Symbol,price,10); //10 is just the tag so we
> > know this stop was triggered
> > }
> > }
> >
> >
> > }
> > bo.PostProcess(); // Finalize backtester
> > }
> >
>
