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RE: [amibroker] Re: Is this possible? Its doing my head in.



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Yes, I believe it's 
provably impossible to backtest buy and sell on the same 
bar.if all you have is EOD data.
<FONT 
color=#000080> 
Why not try back 
testing your system with the exit at next day's 
open? <FONT 
color=#000080> If it's a winner, y<SPAN 
class=553054902-08052003>ou can, of course, try to execute 
at the close [the backtest would necessarily be optimistic in that it couldn't 
get suckered in.].
<FONT 
color=#000080> 
Bob
<FONT 
color=#000080> 
<FONT 
color=#000080> 
<FONT 
color=#000080> 

  <FONT face=Tahoma 
  size=2>-----Original Message-----From: peter j 
  [mailto:amiabilityy@xxxxxxxxx]Sent: Wednesday, May 07, 2003 6:39 
  PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re: 
  Is this possible? Its doing my head in.
  
  
   OOps sent the wrong reply.
   
   
   
   Exactly, thats why its doing my head in.
   
   I tried various type of counters, 
   And even tried it using only the exrem on the buy, and thought i 
  could work it out from there.
   
    So are you saying this is impossible. 
   
   Peter.
   
  --- In <A 
  href="">amibroker@xxxxxxxxxxxxxxx, "Bob 
  Jagow" <bjagow@x...> wrote:> 
  <<     If buy==1 and sell ==1 and the previous buy 
  has had a sell signal> before today, then buy and sell on the same bar. 
  >>> > Don't you have to know which came 
  first?>   -----Original Message----->   
  From: peter j [mailto:amiabilityy@xxxx]>   Sent: Wednesday, 
  May 07, 2003 6:01 PM>   To: <A 
  href="">amibroker@xxxxxxxxxxxxxxx>   
  Subject: [amibroker] Is this possible? Its doing my head in.> > 
  >   Is it possible to create a trade flag for 
  this.>      With out using 
  exrem,>      If buy==1 and sell ==0, and the 
  previous trade has been closed ,>   then 
  buy.>       If buy==0 and sell==1 and in 
  a trade which has not had a sell signal,>   then 
  sell.> >        If buy==1 and 
  sell ==1 and the previous buy has had a>   sell signal before 
  today, then buy and sell on the same bar.> 
  >       If buy ==1 and sell==1 and the 
  previous buy has not had>   a sell signal  before today, 
  then  sell.  (dont place a new buy  on the>   
  same bar that has a sell).> >      I 
  guess this needs a loop.> >    Basically i am 
  trying to bypass using exrem, to allow an entry and exit> on the same 
  bar,> >    I dont want an a new entry 
  placed  when already in a trade, on the day of> the sell, as the 
  trade was not closed.>     2 entries before a sell 
  would not be realistic.>     This happens when 
  using exrem.> >     The attached files shows 
  a sample from a backtest using exrem.>      I 
  am trying to avoid the same result as in the attachment.> > 
  >     Peter.> > > > 
  > > 
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