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Thanks ed! Ill check it out
Eric
--- emp62 <emp62@xxxxxxx> wrote:
> 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
> >
> >
> >
> >
> > __________________________________
> > Yahoo! Mail - PC Magazine Editors' Choice 2005
> > http://mail.yahoo.com
> >
> >
> >
> > Please note that this group is for discussion
> between users only.
> >
> > To get support from AmiBroker please send an
> e-mail directly to
> > SUPPORT {at} amibroker.com
> >
> > For other support material please check also:
> > http://www.amibroker.com/support.html
> >
> >
> > Yahoo! Groups Links
> >
> >
> >
> >
> >
> >
> >
>
>
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