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I am having problems with a system that I am writing.
I have simplified it to the basics for testing purposes.
At this point, I am testing the system using EOD data for QQQ only.
The system will buy at the next Open if the 14-day RSI is less
than 30. Then I want to sell at the first close where I have made a
profit, which may even be the same day that I buy.
The code works fine if the RSI drops below 30 for 1 day only,
e.g. it buys and sells on 4/17/00, and it buys on 4/29/02 and sells on
4/30/02.
But if the RSI stays below 30 for more than 1 day,
the code does not work. For example, the RSI drops below 30 on 10/10/00
and the system correctly buys on 10/11/00. It should sell on the same day
(10/11/00) because there would have been a small profit that day. But it
does not - the RSI is also less than 30 on 10/11/00 and the code does not
produce the desired results. It waits until 10/12/00 to sell. Then
it buys again on 10/12/00, which it should since the RSI on 10/11 was less than
30, but does not sell until 2/28/01, when it should have sold the next day on
10/13/00.
I've included the code below. Anyone have an idea what I
am doing wrong?
Thanks
Linda
Var0 = 1;
SetOption (<FONT
color=#ff00ff size=2>"InitialEquity", <FONT
color=#ff00ff size=2>100000); <FONT color=#0000ff
size=2>
SetOption <FONT
size=2>("MaxOpenPositions"<FONT
size=2>, Var0);
PositionSize <FONT
size=2>= -<FONT
color=#ff00ff size=2>100/Var0; <FONT color=#008000
size=2>// to compound results
BuyPrice =
Open;
SellPrice =
Close;
SetTradeDelays ( <FONT color=#ff00ff
size=2>1, 0<FONT
size=2>, 1, <FONT
color=#ff00ff size=2>1); <FONT color=#008000
size=2>// buy, sell, short, cover<FONT
color=#008000 size=2>
// BUY --------------------------------------------------------------
Cond1 = RSI<FONT
size=2>(14<FONT
size=2>)<30<FONT
size=2>;
Buy = Cond1 ;
// SELL --------------------------------------------------------------
Cond102 = Close > Ref<FONT
size=2>(BuyPrice,-BarsSince<FONT
size=2>(Buy)+1<FONT
size=2>);
Sell = Cond102 ;
Buy = ExRem
(Buy, Sell);
Sell = ExRem
(Sell, Buy);
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