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<FONT face=Arial color=#0000ff
size=2>Dave,
<FONT face=Arial color=#0000ff
size=2>
I've
done a lot of work in this area and I suggest that you code your
entire system using Ref's so that you can include the current day's open in your
analysis. Then, of course, you'll have to set your actual trading to
use the "open" with a delay of "0".
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>Specifically, you will be using Ref's for all prices prior to today's
open. You won't be using Ref for today's open.
<FONT face=Arial color=#0000ff
size=2>
If you
are really going to wait until 10:30, you should probably use something like
(Open+High)/2 for your entry price on buys. There's no way to be
very accurate in this scenario, but I think the formula I gave you would be more
realistic than simply using the open price (since you missed the
open).
<FONT face=Arial color=#0000ff
size=2>
Should
work fine!
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: Dave Merrill
[mailto:dmerrill@xxxxxxx]Sent: Monday, November 17, 2003 5:43
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker]
trade next day, but don't buy if it gapped up too
farin real life I do my analysis overnight, and trade
those signals at around10:30 the next day. suppose I want to skip a buy if
the stock gaps up toofar the morning before I buy. what's the best way to
backtest that?usually my AA prefs are set to trade with one day delay.
if I leave themlike that, would setting buyprice to the max I'd be willing
to buy at do it?should that be done on the day of the signal, or the
following day, the buyday?alternatively, I could use zero trade
delay for buys, and do something likethis after everything else is
done: buy = Ref(buy, -1);what effect
would that have on trade prices?are there other better ways to
approach this?thanks,daveSend
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