Re: [amibroker] Re: Problems in back testing

[Terry <MagicTH@xxxxxxxxxxx>]

This is not a problem if you have intra-day data. The Cross code will work and trigger as many times as needed.

You don't say exactly, but I have the impression you are using end of day data. You cannot do what you want at all with EOD data. All we know is the high and low. There is not a timestamp on the high and the low data so we have no idea which came first. This is not an Amibroker limitation, it's a data limitation. It porbably performs well because you are essentially looking into the future to find out the H and L before they happen.

If you ARE using intraday data, then ignore this post and please ask your question again.

Terry

ima_cons wrote:

--- In amibroker@xxxxxxxxxxxxxxx, Terry <MagicTH@xxxx> wrote:
  

RE: No control over order of H-L. Of course not. No system can 
    

unless 
  

you have intraday data to follow.


Terry
    

Hy Terry,

thanks for your answer, now problem 3 (fractional shares) has a 
solution.

But - I guess - problem 2 (in volatile days, price can trigger both 
buy stop and sell stop, but AMB counts for only one of these) should 
only be improved programming indide the backtester the following 
assumption:

If the Low is near the Open (more than the High), then Low comes 
before the High (and viceversa).

This would be just a guessing, but allow the software to recognize 
that in certain bars (days) we can have 2 stop and revers orders.

Greetings,

Angelo.


P.S. You were also right about problem 1: I had a line of code with

BuyPrice = ChannelTop

so, it was basically my fault.










 
  

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