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The one main area
where the additional buy signals cause a problem is when your sell is related to
the buy signal either by time or price. The sell will recognise the additional
buy signals and reset its calculation based on that. This can cause the sell to
move further out, or in event of applystop could bring it sooner, than
would otherwise be the case. This would make your backtesting produce unreal
results. Of course this would not be the case if you use the additional buy
signals within your trade plan.
Cheers,Graham<A
href="">http://groups.msn.com/asxsharetrading<A
href="">http://groups.msn.com/fmsaustralia
<FONT
face=Tahoma size=2>-----Original Message-----From: Dave Merrill
[mailto:dmerrill@xxxxxxx] Sent: Sunday, 14 December 2003 8:03
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker]
Re: Exrem - Buy Only
<SPAN
class=954244711-14122003>Are you saying that you've actually seen the
backtester take more than one consecutive buy or sell on the same stock in a
row, without an intervening opposite signal?!? I haven't, ever. I suppose it's
possible I didn't notice a rare exception, but I bet someone would have.
<SPAN
class=954244711-14122003>
<SPAN
class=954244711-14122003>Or maybe you've seen the backtester take a signal
other than the first of consecutive signals in the same direction? That I'm
less certain I haven't seen, but I am quite sure I'd call that a bug. Is that
not so? Can you point me to somewhere in the docs or something Tomasz has said
that indicates otherwise? Where ExRem-ing trade signals is said to be
*required* for proper operation? I'd think that would be an important piece of
info to mention, say, in the docs for ExRem.
<SPAN
class=954244711-14122003>
<SPAN
class=954244711-14122003>One piece of evidence that the backtester does this,
and is supposed to, is in the docs for the Equity function, describing the
behavior of Flag (1st parameter) value 1:
<SPAN
class=954244711-14122003>
<FONT
face="Courier New">"works as 0 but additionally
updates buy/sell/short/cover arrays so all
redundant signals are removed <FONT
color=#ff0000>exactly as it is done internally by the
backtester plus all exits by stops are applied so it is
now possible to visualise ApplyStop()
stops."
<SPAN
class=954244711-14122003>
<SPAN
class=954244711-14122003>Dave
<BLOCKQUOTE
><which
the backtester does automatically anyway>Dave,I'm pretty
sure that the backtester does NOT automatically do as you say.I've
spent quite a lot of time working with the backtester, anddetermined
that I *ALWAYS* need to perform the ExRem functions myselfin order to
have absolute control over the last Buy, Sell, Short &Cover
signals.Whether I'm right or wrong, by taking absolute control over
thesesignals, there is no question about the sequence of events related
tothese signals.Regards,Phsst--- In
amibroker@xxxxxxxxxxxxxxx, "Dave Merrill" <dmerrill@xxxx>
wrote:> Ed, I'd suggest thinking through what you intend ExRem to do
foryou. All it> does is remove duplicate signals in the same
direction, which thebacktester> does automatically anyway.
Typically it's only needed when you wantto plot> your own
buy/sell arrows in an indicator.> > In any case, "duplicate"
signals means ones without a signal in theopposite> direction
between them, like two buys in a row without a sell inbetween.>
That's why it takes two parameters -- it's about the
relationshipbetween> the signals in the two passed
arrays.> > That's why Sell has to be defined in the code you
sent. For usefulresults,> not just defined, as in set to zero,
but set to something thatalternates in> a meaningful way with
Buy. If Sell is always zero, once a Buyhappens, there> won't ever
be a Sell to alternate with, and your output will containonly>
that one first Buy.> > Make any sense?> > What
was the original problem you were trying to solve with ExRem?Were
you> plotting shapes or running a backtest? How were you thinking
you'dexit your> buys?> > Dave>
You just need to define the sell condition, otherwise exrem isopen
ended> and undefineable> You could try
using something that is impossible (normally) like>
> Sell = C<0;//close < zero>
> Cheers,> Graham>
<A
href="">http://groups.msn.com/asxsharetrading>
<A
href="">http://groups.msn.com/fmsaustralia>
> > Hi Graham.. Here's the code - Settings are
Long.> > The error message is
:>
++++++++++++++++++++++++++++++++++++++++++++++++++++++++>
Buy=ExRem(Buy,Sell);> -------------------^>
> Variable 'sell' used without having been
initialized.> > Line 5, Column 20:>
>
++++++++++++++++++++++++++++++++++++++++++++++++++++++>
> Code:>
++++++++++++++++++++++++++++++++++++++++++++++++> Buy = L
<= Ref(LLV(L,y),-1);> > y=10;>
> Buy = L <= Ref(LLV(L,y),-1);>
> Buy=ExRem(Buy,Sell);> >
Filter= Close > 2 AND ( Buy);> AddTextColumn(
FullName(), "Full name", 77 , colorDefault, IIf( Close>
< 10, colorLightBlue, colorDefault ) );> >
AddColumn (Close, "Close");> > AddColumn (Buy,
"Buy");> +++++++++++++++++++++++++++++>
> Thanks, Ed> > --- In
amibroker@xxxxxxxxxxxxxxx, "Graham" <gkavanagh@xxxx>
wrote:> > Ed> > You should be
able to just use it for longs only, I do.> > Can you
describe the error message, and provide the relevant
code.> >> > Buy =
ExRem(Buy,Sell);> >> >
Cheers,> > Graham> > <A
href="">http://groups.msn.com/asxsharetrading>
> <A
href="">http://groups.msn.com/fmsaustralia>
>> > -----Original Message----->
> From: Ed [mailto:reach1136@xxxx]> > Sent: Sunday,
14 December 2003 7:36 AM> > To:
amibroker@xxxxxxxxxxxxxxx> > Subject: [amibroker]
Exrem - Buy Only> >>
>> > Somewhere I think I saw an example of using
the ExRem function for> a> > long
trade strategy only -> >> > When
I try to use it, as in the AFL referenc, on a Buy/Long>
scenario> > only, it gives me error
messages.> >> > I did a search,
but can't seem to find it. Can anyone help?>
>> > Thanks EdSend
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