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Hi Herman,
Yes, I did mange to plot (by creating a new indicator), many thanks.
It does show the best prices that could have been achieved. The ref
function in the last line:
BestSellPrice = Ref(Temp ,-1);
seems redundant. I used BuySellPrice = temp and it gives the same
results.
I then pasted the whole code into Explorer and I managed to obtain
some output. I then copied and pasted into Excel (had to do this
twice, with different filter settings in Explorer) and then had to
do a few manipulations in Excel to obtain something which was close
to what I wanted. Not at all elegant, i'm afraid!!!
I tried to use the code in the backtester (without the plot) but it
didn't work there. I set SELL= bestsellprice. Any way of just using
the code in the backtester?
Any further suggestions to try and simplify would be appreciated!!
Many thanks again
Sam
--- In amibroker@xxxxxxxxxxxxxxx, "Herman van den Bergen"
<psytek@xxxx> wrote:
> Did you plot the code i posted [ Tue 01/18/2005 7:59 PM ]? Your
best bet to
> solve this problem is to visualize it.
>
> herman
> -----Original Message-----
> From: qweds_560 [mailto:qweds_560@x...]
> Sent: Wednesday, January 19, 2005 12:34 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Best exit price?
>
>
>
> 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/
>
>
>
>
>
> Check AmiBroker web page at:
> http://www.amibroker.com/
>
> Check group FAQ at:
> http://groups.yahoo.com/group/amibroker/files/groupfaq.html
>
>
>
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