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I am using the following Short system and need help. When I manually
test the exits against the backtester results I find they are
different. I have 2 exits . The trailing profit exit if the price
closes above (the lowest low + 4 * ATR(100) ) or the initial
stop , the price closes above ( the entry price + 1 * ATR(100).
Could someone tell me where I have gone wrong. Thanks in advance
Phill
Turnover = MA(Close,21) * MA(Volume,21);
ATRperc = (ATR(10)/Close) * 100;
Filter = StochK( 10, 3 ) < StochD( 10, 3, 3 )
AND Ref( HHV( StochK( 10, 3 ), 2 ), 0 ) > 80
AND StochK( 10, 3 ) < 80
AND Close >= 1
AND Close < MA(Close,100)
AND MA(Close,100) < (Ref(MA(Close,100) , -50) - 4 * ATR(100))
AND Turnover >= 500000
AND Turnover <= 15000000
AND ATRperc >= 2
AND ATRperc <= 8;
AddColumn(Close,"close");
AddColumn(ATR(100),"atr(100)");
AddColumn(ATRperc,"atr(10)%");
AddColumn(Turnover,"Turnover");
Short = Filter;
Cover = Cross(LowestSince(Short,L) + 4 * ATR(100),C)
OR Cross(ValueWhen(Short,ShortPrice) + 1*ATR(100),C);
PositionSize = 10000;
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