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Using ExRem on Buy and Sell will eliminate all but the first Buy and Sell in
each segment, but BuyPrice will continue to be whatever the buy price is as
if you were going to buy again at each time bar. So you want to select the
BuyPrice at the time of the last Buy signal (after applying ExRem), which is
buyExRem = ExRem(Buy, Sell);
price = ValueWhen(buyExRem, BuyPrice);
Another way to compute this, and also to adjust the price selected based on
your delay until actual buy (unless the BuyPrice already accounts for this
delay - I'm not sure):
sinceBuy = BarsSince(buyExRem);
delay = 1;
price = Ref( BuyPrice, - sinceBuy + delay);
dan
On Saturday 24 June 2006 07:46 pm, mikelaurataylor wrote:
> If I build a model for buying/selling and I want to, for instance,
> create my own artificial stop based on the buy price i need to know
> the buy price of my item.
>
> Even if I use the exrem statement on a buy the buyprice array does not
> necessarily remain the original buy price if other buys occur (but do
> not get executed.)
>
> I know you can set a % stop in the program so the backtest program
> must know what the buy price was so I was wondering if there is a way
> to get this amount without delving into the backtesting interface.
>
> Hope I asked the question clearly enough for someone to help.
>
> Thanks
>
> Mike
>
>
>
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