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Hello,
I have been trying to solve this problem for some time using all
sorts of functions in the backtester: HHV, barssince, valuewhen,
barindex and so on.
Consider a simple stop and reverse system. I want to know what the
best exit price could have been from a long position before the
system reverses and what the best exit price that could be from a
short position before the system reverses and goes long.
To put it another way, I would like to peek into the future to see
what the best price I could exit my position at BEFORE I receive a
signal in the opposite direction.
I am trying to find out the maximum profit that could be made using
the system if you had the foresight to know exactly when to exit
each and every position.
I would be grateful for any suggestions.
Many thanks
Sam
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