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<SPAN
class=580292014-14122003>Hi Ed,
<SPAN
class=580292014-14122003>
<SPAN
class=580292014-14122003>How about this:
<SPAN
class=580292014-14122003>
<SPAN
class=580292014-14122003> Buy = Cross(Ref(LLV(L,y),-1),
L);
<SPAN
class=580292014-14122003>
<SPAN
class=580292014-14122003>Cross only returns true when the first value goes ABOVE
the second, not above or equal to the second, so it's not exactly the same as
your code, but it's simple and clean, and I think gets at your basic
issue.
<SPAN
class=580292014-14122003>
<SPAN
class=580292014-14122003>I think (;-)
<SPAN
class=580292014-14122003>
<SPAN
class=580292014-14122003>Dave
<SPAN
class=580292014-14122003>
<BLOCKQUOTE
>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> <A
href="">http://groups.msn.com/asxsharetrading>
<A
href="">http://groups.msn.com/fmsaustralia>
-----Original Message-----> From: Dave Merrill
[mailto:dmerrill@xxxx]> 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,>
> PhsstSend
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