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When using the following formula the stocks I am getting are
different when I backtest from those I get when I do an Explore. I am
testing the ASX top 200. When I do a backtest starting 5th April 2002
my first three entries are GNS,COA, BOQ. When I do an Explore the
only stock I get on 5th April 2002 is SIG. It is a weekly system.
Can someone tell me why the difference? Thanks in advance Phill.
PositionSize = 20000;
ATRperc = (ATR(50)/MA(Close,50)) * 100;
Turnover = MA(Close,4) * MA(Volume,4);
Filter =Cross(Close, Ref( HHV( High, 3 ), -1 ))
AND Close >= 1
AND Close < 10
AND Close > MA(Close,34)
AND MA(Close,34) > Ref(MA(Close,34),-5)
AND MACD(12,26)>0
AND OBV() > MA(OBV(),21)
AND HHVBars(Close,30) < 1
AND ATRperc >= 1
AND ATRperc <=10
AND Turnover > 2500000;
Buy = Filter
Sell = 0;
ApplyStop(2,2,3.6*ATR(30),0,True,True);
ApplyStop(0,2,2*ATR(30),0,True,True);
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