Apply Stop in Rotational Backtest

AFL Programming
1

Hi,

I am writing a simple rotational model which exits current position and enters highest momentum symbol on open. Trade delay set to 1 and ApplyStop( Percent, Profit, 5 ) executing intraday on the following bar.

I understand that Point and Percent type stops are available in rotational backtest mode and variable amounts are not. I have entered the number '5' as the amount yet the size of my profit targets are all different - both in terms of the percentage amount and the absolute point amount.

Is the number 5 here (which I thought was a fixed amount and therefore should be both available in rotational backtest mode and also of a constant amount in the backtest results) causing a problem because it is generating an array by calculating 5% of the price each day to create a target price level?

Does anybody know how to use percentage based targets and stops in rotational backtest mode?

Many thanks for reading!

3

Very briefly, the target levels in the backtest results do not match the target levels calculated in the exploration - they are just round numbers which, when the entry price is subtracted, are not even close to '5'.

If Percent or Point targets cannot be used in backtestRotational, does anyone know of some sample code somewhere for a simple rotational system in backtestRegular I could use to transition my rotational strategy to allow the use of targets?

Thanks for your time.

4

'backtestRotational' mode does not work that way.

2 Likes
5

Many thanks, TrendSurfer!

I think you just saved me many fruitless hours of investigation - I will use backtestRegular!

Regs,

CM

6

Happy to help but searching this forum and/or Google will also do that.