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The good part i verified the entry and the position sizing for the scale in and they are OK
so after the close is 10% or more higher than the entry price scale in will hit.
50% of the position or 2.5% of equity on buy setup and 50% or 2.5% of equity on scale in
the bad news and still i am not sure it is mistake in the code or it is normal result that when using scale in even though Win Loss ratio increased but CAR and profit decreased.
this is snapshot of the result with scale in
and without scale in
Monday 25/1
was bad day work and after work not much was done
Tuesday 26/1
[ol]
[li]Finished Module 25 (Very good module lots of new ideas and stuff that never imagined exits
)[/li]
[li]Verified the Entry and position size for scale in[/li][/ol]
there is this option it will help, but the problem it will compare only to the volume of the last bar
the other option I did not test it yet may be it will work
poistionsize = MIN(-5, MA(V,20)*BuyPrice*0.05);
in theory this will compare the 5% of the equity with the 5% of the average volume
It is becoming more difficult than what i imagined
here is the code for the loop so in the beginning i am buying then checking if there last close is 10% higher than the price at buy then adding the remaining part of the position.
Code:Buy = 0;
Sell = 0;
PriceAtBuy = 0;
LBIT = 0;
LStop = Null;
ScaleInTarget = Param(“Scale In Target”,10,0,100,1)/100 + 1;
Flag = 0;//———————————————————————————
for (j = 1; j < BarCount; j++) { if(PriceAtBuy == 0 AND LE[j]) { Buy[j] = True ; BuyPrice[j] = O[j]; PriceAtBuy = O[j]; LBIT[j] = 1; LStop[j] = Max(TrailStop[j-1], TrailStop[j]); LSTop[j-1] = TrailStop[j-1]; Flag ++; if(LBIT[j] > 1 AND (Close[j-1] <= LSTop[j-1] OR OnSecondLastBarOfDelistedSecurity[j])) { Sell[j] = True; SellPrice[j] = Open[j]; PriceAtBuy = 0; Flag = 0; } } else if(PriceAtBuy > 0)
{
LBIT[j] = LBIT[j-1] + 1;if(LBIT[j] > 1)
{
LStop[j] = Max(LStop[j-1], TrailStop[j]);
if(((C[j-1]/PriceAtBuy) > ScaleInTarget) AND Flag < 2 AND LBIT[j] > 1)
{
Buy = sigScaleIn;
BuyPrice = O[j];
Flag++;
}
}if(LBIT[j] > 1 AND (Close[j-1] <= LSTop[j-1] OR OnSecondLastBarOfDelistedSecurity[j])) { Sell[j] = True; SellPrice[j] = Open[j]; PriceAtBuy = 0; Flag = 0; } } }
To be honest i imagined that it will be easier than this. i was trying to use the scale in feature to enter the trades but since it will inter in steps it was not possible to test with initial 25% of position then 75% of the position.
I think for this idea i need to use the custom backtest from Amibroker to implement it. Meanwhile i played around with the scale in function but with 50% of the position initially and the other 50% after the stock moves 10% from the buy price. the aim is to see if there is any improvements .
here is the snapshot of the strategy with entering the full position note that i removed all the random parts from the strategy so most probably it will be the same trades in all the tests. (file is attached)
but here is the general results
Profit 5195.4% CAR 20.74% MDD -25.89% Winners % 46.59%then i did optimization to see the results on different Scaling targets from 0% up to 15%
also attached is the result
as i was expecting the Win/Loss ratio increased and the Profit more than doubled, CAR increased and MDD decreased
results are pretty nice for 50-50
just to be sure that the code and the results are OK i need to make more tests and may be some manual checking over the weekend.
