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Dave, Graham, Phsst, et al - thanks for your help.
My reason for the orignial ExRem question was because the 10 day
Pullback strategy is a Long only strategy - Sells and Shorts are not
part of my needs in this case. I'll use my own Stops and exits.
I only wanted Buy signals at the Buy = L <= Ref(LLV(L,y),-1.
Without ExRem, I get those multiple signals on the chart, and it just
adds "noise" and confusion (at least to me). And without a
Sell/Cover statement, ExRem doesn't work.
I originally used ExRem and just ignored the Sell arrows.
Below is all of the original code that worked - I may just stick to
this!!!!
y=10;
Sell = H >= Ref(HHV(H,y),-1);
Buy = L <= Ref(LLV(L,y),-1);
Short=Sell;
Cover = Buy;
Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);
Short=ExRem(Short,Cover);Cover=ExRem(Cover,Short);
Filter= Close > 2 AND ( Buy OR Sell ) ;
AddTextColumn( FullName(), "Full name", 77 , colorDefault, IIf( Close
< 10, colorLightBlue, colorDefault ) );
AddColumn (Close, "Close");
AddColumn(IIf(Buy,1,IIf(Short,-1,0)),"Signal",1.0);
AddColumn(RSI(14),"RSI",1.2);
Thanks to all for your help.
Ed
--- In amibroker@xxxxxxxxxxxxxxx, "Dave Merrill" <dmerrill@xxxx>
wrote:
> MessageYes, of course, you're right. Even if the backtester removes
> redundant signals before atually trading, if your code needs to
know when
> the last entry happened, or the BuyPrice at that time, etc., you
need to
> remove them yourself before looking for those kinds of infos.
>
> Dave
> 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
> http://groups.msn.com/asxsharetrading
> http://groups.msn.com/fmsaustralia
> -----Original Message-----
> From: Dave Merrill [mailto:dmerrill@x...]
> Sent: Sunday, 14 December 2003 8:03 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: RE: [amibroker] Re: Exrem - Buy Only
>
>
> 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.
>
> 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.
>
> 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:
>
> "works as 0 but additionally updates buy/sell/short/cover
arrays so all
> redundant signals are removed 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."
>
> Dave
> <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,
and
> determined that I *ALWAYS* need to perform the ExRem
functions myself
> in order to have absolute control over the last Buy, Sell,
Short &
> Cover signals.
>
> Whether I'm right or wrong, by taking absolute control over
these
> signals, there is no question about the sequence of events
related to
> these signals.
>
> Regards,
>
> Phsst
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