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Mechanical systems will only ever trade on the first buy or sell signal
encountered. If you want to pick and choose between signals then you must
program in the conditions for these better signals and ignore the ones you
do not want.
I do not believe you can have more than one trade open per ticker at any one
time.
Cheers,
Graham
http://e-wire.net.au/~eb_kavan/
-----Original Message-----
From: ed nl [mailto:ed2000nl@xxxxxxx]
Sent: Thursday, September 23, 2004 6:11 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Portfolio Backtest, Redundant signals
hi,
in one of my systems I have multiple buy/short signals in a row. Normally
what one does is remove the redundant signals. However, in a portfolio
backtest I don't want to do this. Because if you remove the redundant
signals in a portfolio setup one might miss a good entry opportunity. For
instance it might happen that the first two entries are lousy and would not
be chosen in a portfolio setup (since other symbols offer better
opportunities) but the third would be chosen. But since the exit for the
first signal possibly has not yet been encountered all redundant signals are
removed and the portfolio backtester won't know this third signal is there.
Problem when you do not remove the redundant signals is however that the
entry does not know which exit to choose from. The portfolio backtester will
chose the first exit after an entry signal and it might be that this exit
does not form a pair with this entry.
So the portfolio backtester needs to be told which exit belongs to which
entry. Can this be done using Amibrokers portfolio backtester?
rgds, Ed
[Non-text portions of this message have been removed]
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