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Many thanks Graham,
Unfortunately, it doesn't seem to work. I may be doing something
wrong:
My code is:
buy=...conditions
short=...conditions
sell=short;
cover=buy;
BestLong = valuewhen( sell, highestsince(buy,h) );
BestShort = valuewhen( cover, lowestsince(short,L) );
Sell=bestlong;
Cover=bestshort;
Buy = ExRem(Buy,Short);
Sell = ExRem(Sell,Buy);
Short = ExRem(Short,Buy);
Cover = ExRem(Cover,Short);
The sell happens on the next bar after a buy rather than searching
for the highest high before a short signal.
Any assistance would be appreciated,
Cheers
Sam
--- In amibroker@xxxxxxxxxxxxxxx, Graham <kavemanperth@xxxx> wrote:
> You can probably get more complex or easier solutions, here is one
>
>
> BestLong = valuewhen( sell, highestsince(buy,h) );
> BestShort = valuewhen( cover, lowestsince(short,L) );
>
>
>
> On Tue, 18 Jan 2005 23:22:43 -0000, qweds_560 <qweds_560@xxxx>
wrote:
> >
> >
> > 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
> >
> >
> > Check AmiBroker web page at:
> > http://www.amibroker.com/
> >
> > Check group FAQ at:
http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > Yahoo! Groups Links
> >
> >
> >
> >
> >
>
>
> --
> Cheers
> Graham
> http://e-wire.net.au/~eb_kavan/
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