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hi,
yes I have done such a thing for an EOD system. Basicly you get a signal and
then you send an order on the limit to the exchange the next day.
For a Long signal you can backtest this as follows: check if the limit is
reached, if so follow the normal entry coding. If the limit is not reached
then you enter and exit on the same bar at the open. This is necessary
because if you want to make an entry on the limit you will need this money
for that trade even if the limit is not reached. Now the backtest makes an
entry and exit on the same price making sure the money is not used for
another trade. Your backtest is only off by the commission it charges for an
entry + exit which it in reality would not make.
Snippets of the exit coding
// case where you entry limit is reached
} if (Buy[ i ] == 1 AND Low[ i ] < buyLimit[ i ]) {
........ entry code here ...........
// case where you limit is not reached
} else if (Buy[ i ] == 1 AND Low[ i ] >= buyLimit[ i ]) {
// enter and exit at the same price and bar ("VOID" trade)
BuyPrice[ i ] = Open[ i ];
Sell[ i ] = 5;
SellPrice[ i ] = Open[ i ];
}
hope this is what you were asking for,
rgds, Ed
----- Original Message -----
From: "eric paradis" <thechemistrybetweenus@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Sunday, November 20, 2005 5:04 PM
Subject: [amibroker] Backtesting and limit orders
> Is it possible to backtest a limit order in Amibroker?
> Also, how do I set up a limit order that can be
> backtested?
>
> Thanks
>
> Eric
>
>
>
>
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