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All:
I need to refine my code so that correct buy and sell prices are
being reported in the back tests. The problem I'm having is that the
yen is indivisible, but the back tester wants to split it when it
reports prices and calculates profits.
Let's say my BStopLevel = ref(C,-1) + (ref(H - L, -1) * 1.01)
This is almost always (probably always, actually) going to be a
fractional yen value. On a multiple security back test, my task is
to force the back tester to buy at the next greater tick level,
rather than the fractional value. Exits are on the open, so that is
never a problem.
Compounding this, is that fact that tick increments in Tokyo vary
depending on issue price. In the portfolio I want to back test, I
have several issues that have tick increments of a single yen. But
one of those can reach levels where the tick increment jumps to 5 or
even 10 yen. Others in the portfolio have tick increments of 1,000
yen, or 100 yen.
I would like precision in my back testing, and I'm not getting it.
It is my own fault, I'm sure, for not knowing the code any better.
Can anyone help?
Yuki ^_^
mailto:yukitaga@xxxxxxxxxxxxx
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