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I'm planning to write my own backtesting routine via the Explore, so that I can generate the trade statistics that I want. (ie. normalized returns, Optimal F, etc.)
But I have to understand the fine art of writing loops. This is a loop to establish a position, that isn't working. Can anybody please help?
Filter=1;
Period = EndValue( BarIndex() ) - BeginValue( BarIndex() )+1;
i=1;
Pos[0]=1;
while( i < Period) {Pos[i]=IIf(H>Ref(HHV(H,15),-1),1,
IIf(L<Ref(LLV(L,15),-1),-1,Pos[i-1])); i=i+1;}
AddColumn(Pos, "POS", 1.4 );
Thanks
Kevin Campbell
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