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Michael,
it originally just started when I wanted to set a stop 1 tick below
yesterdays low, then I noticed that 1 tick below 51c was 50c, but 1 tick
below 50c was 49.5c
It also comes into play when I'm calculating position sizes based on (say)
ATR.
eg.
EquityRisk = 1; // 1%
InitialRisk = ATR(14)*2;
InitialStop = BuyPrice - InitialRisk;
PositionSize = -EquityRisk * BuyPrice/InitialRisk;
can give a different result to
EquityRisk = 1;
InitialRisk = ATR(14)*2;
InitialStop = nrASXtick(BuyPrice-IinitialRisk, 0, -1); // now a valid price
InitialRisk = BuyPrice-InitialStop; // adjusted to valid prices
PositionSize = -ERisk * BuyPrice/InitialRisk;
Although Tomasz has now added an option to the AA backtester to specify the
ticksize, it stiil doesn't allow for ticksize changing as prices change.
--
Nigel
On Mon, 3 Mar 2003 09:47 pm, OzFalcon wrote:
> Nigel,
>
> Can you explain the use of this dll?
>
> As I use ASX as well. Why did you need round?
>
> KR
> Micahael.
>
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