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Thanks for your response, Al. And thanks also to Stephane for
pointing out an obvious flaw in the code. I've solved the mystery, by
reference to this piece in the BackTester "manual":
"During back-testing AmiBroker will check if the values you assigned
to buyprice, sellprice, shortprice, coverprice fit into high-low
range of given bar. If not, AmiBroker will adjust it to high price
(if price array value is higher than high) or to the low price (if
price array value is lower than low."
That procedure was, of course, arguing with the BuyPrice rules as I
had stated them. All fixed now. On with the work.
Paolo
--- In amibroker@xxxxxxxxxxxxxxx, "Al Venosa" <advenosa@xxxx> wrote:
> Paolo:
>
> You have designed a reversal system, meaning that if you are long
and you
> get a short signal, you will exit your long and go short. If you
have
> Reverse Entry Forces Exit checked in Settings, then when you get a
short
> signal triggered, you will exit your long and to short at today's
high,
> according to your ShortPrice code. The best way to diagnose what's
happening
> is to write an exploration such as:
>
> Filter = 1;
> Addcolumn(Buy,"Buy",1);
> Addcolumn(Short,"Short,1);
> Addcolumn(Sell,"Sell",1);
> Addcolumn(Cover,"Cover",1);
> AddColumn(O,"O",1.2);
> AddColumn(H,"H",1.2);
> AddColumn(L,"L",1.2);
> AddColumn(C,"C",1.2);
> Addcolumn(BuyPrice,"BP",1.2);
> Addcolumn(ShortPrice,"ShP",1.2);
> Addcolumn(SellPrice,"SP",1.2);
> Addcolumn(CoverPrice,"CP",1.2);
>
> When you view the output, you ought to be able to figure out why
you are
> exiting on today's high sometimes. Good luck.
>
> Al Venosa
>
>
> ----- Original Message -----
> From: "Paolo" <pmonnetti@xxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Friday, April 30, 2004 9:42 PM
> Subject: [amibroker] Re: BuyPrice/ShortPrice Problem
>
>
> > Thanks, Al, for your comments. Of course you're right,
realistically
> > that should read yesterday's high or today's OPEN. Funnily
enough, I
> > lifted that particular bit of code directly from the AFL
> > documentation. I don't think I misunderstood the context - maybe
the
> > example given is just an error.
> >
> > Anyway, that hasn't affected the strange phenomenon I referred to,
> > when for some reason the BackTester elects to enter at TODAY's
high,
> > instead of yesterday's. In my code today's high isn't included in
the
> > calculation for BuyPrice at all as far as I can see. I can't
fathom
> > why it's happening. Any ideas?
> >
> > Paolo
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Al Venosa" <advenosa@xxxx>
wrote:
> > > Paolo:
> > >
> > > Because you've told it to. Take a look at your price arrays.
You are
> > > assigning the buyprice, for example, as the max of either
> > YESTERDAY's high
> > > or TODAY's low. So, depending on which is higher, that's what
> > you'll get. If
> > > the price gaps up on entry day such that the low is higher than
> > yesterday's
> > > high, then you'll enter on today's low. That may be OK for
> > backtesting, but
> > > of course, in real trading, you won't know that until the end of
> > the day
> > > after you download your data. You might consider BuyPrice =
> > > Max(ref(H,-1),O); to better simulate real trading.
> > >
> > > Ciao!
> > >
> > > Al Venosa
> > >
> > > ----- Original Message -----
> > > From: "Paolo" <pmonnetti@xxxx>
> > > To: <amibroker@xxxxxxxxxxxxxxx>
> > > Sent: Friday, April 30, 2004 6:03 AM
> > > Subject: [amibroker] BuyPrice/ShortPrice Problem
> > >
> > >
> > > > The following code is designed to trade on DI+/DI- crossovers,
> > > > entering on a stop set at the previous day's high or low. As
far
> > as
> > > > the buy/short signals are concerned it seems to perform
perfectly,
> > > > but can anyone tell me why about 50% of the time, and
apparently
> > > > randomly, it enters at the CURRENT day's high or low, instead
of
> > on a
> > > > stop at the previous day's?
> > > >
> > > > Paolo
> > > >
> > > >
> > > > BuyStop=Ref(H,-1); SellStop=Ref(L,-1);
> > > > BuyPrice=Max(BuyStop,L);
> > > > CoverPrice=Max(BuyStop,L);
> > > > ShortPrice=Min(SellStop,H);
> > > > SellPrice=Min(SellStop,H);
> > > > PositionSize=4000;
> > > >
> > > > Buy=Cross(Ref(PDI(14),-1),Ref(MDI(14),-1));
> > > > Short=Cross(Ref(MDI(14),-1),Ref(PDI(14),-1));
> > > > Sell=Short;
> > > > Cover=Buy;
> > > >
> > > >
> > > >
> > > >
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> >
> >
> >
> >
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