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hello,
I hope some one else tried to code this method of Welles Wilder. I just
finsihed it and it seems the bugs are out ...... The concept of this system
is not too hard to understand but the writing of the code took me a couple
of days ...... (and 1250 lines of code .....)
The problem I have is the following. This system can give multiple signals
in one day. It could start of with a Buy then it could be forced to Sell on
the same day and go Short. All these signals are put in the
Buy-Sell-Cover-Short arrays whenever they occur. However, when I use the
backtest button of the Automatic Analysis window and look at the trades it
makes it does not see all these trades.
Thinking about this .... it makes sense to me because how could Amibroker
know what the sequense of all these signals are within one day. If a
sequence occurs: Buy - Sell - Short during one day the backtester only uses
the Buy signal.
Is the only solution to calculate the Equity array by myself? I am sure
similar problems occur with other systems. What is generally done with such
a problem? Maybe this system can only be tested without writing extra code
to calculate the Equity function if I use intraday data?
thanks,
rgds, Ed
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