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I'm currently using these codes to get auto backtester to buy/sell
on the first signal generated during the day:
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LongSignal = xxx;
ShortSignal = xxx;
NewDay = DateNum() != Ref(DateNum(),-1);
BuyNum = Cum(LongSignal);
DailyBuyNum = BuyNum - ValueWhen(NewDay,BuyNum);
ShortNum = Cum(ShortSignal);
DailyShortNum = ShortNum - ValueWhen(NewDay,ShortNum);
Buy = LongSignal AND DailyBuyNum == 1 AND DailyShortNum == 1;
Short = ShortSignal AND DailyBuyNum == 1 AND DailyShortNum == 1;
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The Cum() function lags my amibroker a lot when used to backtest
years of data.
Any ideas to optimize these codes?
Is there a shorter way to make amibroker detect signals as they
happen intra-day and start afresh the next? (Like check for x
occurrance of a pattern within each day)
Thanks!!!
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