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In a SHORT backtest I want to make my own assignments to the
CoverPrice array... then use the CoverPrice as the 'trailing buy stop'
price that I use to stop out a position.
I NEVER want the CoverPrice to INCREASE.
I ALWAYS want the CoverPrice to either REMAIN UNCHANGED OR DECREASE
with each new bar.
I've tried many gyrations of AFL code to accomplish this and have
spent more hours on it than I care to admit to, but I have narrowed my
problem down to the failure of the MIN function to return the lowest
value.
Here is an extremely simple exploration to demonstrate the problem:
------------------------------------------
// Explore and Debug Trailing Stop logic
for( i = 1; i < BarCount; i++ ) // Pad CoverPrice array with HIGH VALUES
{
CoverPrice[i] = 99999;
}
// I verified that entire CoverPrice array now padded with 99999's
x = Min( Ref(H,-1) , Ref(CoverPrice, -1) );
CoverPrice = x;
Filter = 1;
AddColumn(x,"x = Min(Ref(H,-1),Ref(CoverPrice, -1))",6.3);
AddColumn(Ref(H, -1),"Ref(H, -1)",6.3);
AddColumn(Ref(CoverPrice, -1),"Ref(CoverPrice,-1)",6.3);
AddColumn(CoverPrice,"CoverPrice",6.3);
AddColumn(H,"H",6.3);
----------------------------------------
Run the above exploration against any current issue (I'm testing with
SPY) in AB and you will see that in the statement:
x = Min( Ref(H,-1) , Ref(CoverPrice, -1) );
variable x is ALWAYS being assigned the value of Ref(H, -1) instead of
the lowest value of the two values.
Am I missing something or is this an AB issue that I need to refer to
Tomasz?
Regards,
Phsst
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