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Hi Graham,
Wednesday, June 23, 2004, 9:35:00 PM, you wrote:
G> Unless you have another stock that is referenced in the test and
G> this has data during that period and it is using this time period.
Yes, this is undoubtedly the problem. There are other stocks in
there that are being referenced.
G> Strictly speaking the trade is 6 bars long, even though no trades were
G> possible for 5 bars. If you had held that stock, it would be 6 days.
But we are talking bars here, not days. The stock was not available
to trade. There are no bars for the stock between the buy and the
sell. There are just other stocks in the test that have bars on
those dates. But not this one. I see this as a two-bar trade. An
unusual one, but the back tester (IMO) should consider bars on a
stock-by-stock basis in this case. It seems not to do so.
Yuki
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