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I am backtesting my formulas and am running into a problem. I trade
end of day, so I set my trades to be the open price of the next day
(in the settings dialog of AA). My problem is I have a 5% loss stop,
and there are many occasions where I close and re-enter the same
symbol on the same day. Now in reality, I would never do this, as the
loss stop would kick in mid day, and I would not have actually placed
an order for the opening as I am currently in that position.
Are there any easy ways to prevent opening a position that closes
that same day. I know it has to do with my delay of one day to place
my trades, I just don't know how to fix it. Here is my formula in
case that is of any help:
PositionSize = 5000;
Filter = 1;
Buy = ADX() >= 25 AND ADX() >= HHV(ADX(),10) AND C >= HHV(C,10);
Short = ADX() >= 25 AND ADX() >= HHV(ADX(),10) AND C <= LLV(C,10);
Sell = Ref(ADX(),-10) > ADX() AND Buy != 1;
Cover = Ref(ADX(),-10) > ADX() AND Short != -1;
Thanks in advance.
Tom
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