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Bruiser:
The 21-day ATR of a stock is usually a small fraction of the closing price
(~1 to 10%, typically). In your sell statement, you are asking to sell when
the ATR crosses above the close. That's hardly ever going to happen. Suppose
the close is 45 and the ATR(21) is 1.35. Do you really think you'll get a
sell signal when the ATR crosses above the close? The stock would have to
plummet all the way down to 1.35 or less, or the volatility would have to go
sky high in order for you ever to get your sell signal hit. I think you need
to re-think your sell condition. Also, your Cond4 is a bit weird. You are
filtering out all stocks whose price is less than 15 cents per share. If you
are trading US stocks, that will be a rare event unless you are trading
penny stocks. Are you?
Al Venosa
----- Original Message -----
From: "bruiserbbq" <bruiserbbq@xxxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Wednesday, June 30, 2004 8:29 PM
Subject: [amibroker] What's wrong with this backtest?
> Hi gang, I'm still having trouble with my backtest. It's only giving
> me one day open and the next day close even though the backtest is
> over 1000 days.
>
> Ticker Trade Date Price Ex. date Ex. Price
>
> CTX Long (n-bar) 10/01/2001 2.15 10/01/2001 2.15
>
>
> Here's the code I'm using:
>
> cond1 = ADX(14) > 20;
> cond2 = High > Ref(HHV(H,30),-1);
> cond3 = Volume > 200000;
> cond4 = Close > 0.15;
>
> Filter = cond1 AND cond2 AND Cond3 AND Cond4;
>
> Buy = cond1 AND cond2 AND Cond3 AND Cond4;
>
> Sell=Cross(Ref(ATR(21),-1),C);
>
> PlotShapes( shapeUpArrow * Buy, colorGreen );
> PlotShapes( shapeDownArrow * Sell, colorRed );
>
> AddColumn(Buy,"Buy");
> AddColumn(Sell,"Sell");
> AddColumn(Open,"Open",1.3);
> AddColumn(Close,"Close",1.3);
> AddColumn( ADX(14), "ADX", 1.2 );
> AddColumn(Volume,"Volume",1.0);
>
>
>
> Thanks in advance
> Dumb O'l Bruiser
>
>
>
>
> Check AmiBroker web page at:
> http://www.amibroker.com/
>
> Check group FAQ at:
http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> Yahoo! Groups Links
>
>
>
>
>
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