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How Do I --- Use Closed Trade Results as a Filter
Assume I have a trading system that generates about six trades a
month, each lasting a day or two. I have noticed that there is
often a sequence of three profitable trades, but rarely a sequence
of four or more profitable trades. So, whenever there has been a
sequence of three profitable trades, I want to note the next signal,
but not take the trade. I want to continue to monitor each closed
trade and begin taking trades after a sequence of two losing
signals.
I want to plot the equity curve corresponding to both the unfiltered
signals and the trades taken.
How do I code this into AmiBroker so that
A. the BackTester properly accounts for the trades that would have
actually taken place; and also
B. Explorer indicates that I should place orders for the next day,
and at what price?
Specific (but very artificial) example :
Trade Entry
1. Whenever today's high is greater than yesterday's high AND
today's low is lower than yesterday's low AND today's 5 day moving
average of close is higher than yesterday's 5 day moving average of
close, then my pattern is true and a buy signal is generated and I
want to place a market order to buy at the open tomorrow.
Trade Exit
1. Exit using a market order to sell at the open on the second day
after the trade was entered. (Hold the position 48 hours.)
Thanks in advance,
Howard
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