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Just set SellPrice = Open;
You are trying to "fix" something that Amibroker already handles with
SetTradeDelays.
// Options
SetTradeDelays(1, 1, 1, 1);
BuyPrice = SellPrice = Open;
Buy = SomeCondition;
Sell = Ref(Buy, 0);
--
Terry
-----Original Message-----
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf
Of intermilan04
Sent: Saturday, December 02, 2006 21:15
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Selling price not set properly sometimes
Hi all,
I have a trading system which is intended to work in the following way:
1. I scan for signals on Day 1.
2. I buy signaled stocks at the open on Day 2.
3. I sell stocks at the open on Day 3.
In a nutshell, here is a portion of my code that are relevant.
// Options
SetTradeDelays(1, 1, 1, 1);
Buy = SomeCondition;
BuyPrice = Open;
Sell = Ref(Buy, 0);
SellPrice = Ref(Open, 1);
I'm deliberately doing Sell = Ref(Buy, 0); so that I can free up my
Equity for next day's purchase of new stocks. If I do Ref(Buy, 1),
the Backtester tries to buy stocks next morning, can't do so because I
have positions from previous day, and sell my stocks, and I end up
with a cash position which could have been utilized on new stocks.
Well, that became a lengthy explanation but the problem is the
SellPrice = Ref(Open, 1); code. While it works most of the times, it
does not work 100%. Here is a situation where it failed;
Ticker Trade Date Price Ex. date Ex. Price % chg
Profit % Profit
REGN Long 2006/11/30 21.5 2006/11/30 21.54 0.19% 18
0.10%
OVTI Long 2006/11/30 16.6 2006/11/30 16.04 -3.37% -574
-3.46%
TLAB Long 2006/11/30 9.99 2006/11/30 10.05 0.60% 88
0.52%
BRCM Long 2006/11/30 32.88 2006/11/30 32.66 -0.67% -124
-0.75%
I have no problem with REGN, TLAB, BRCM; the Ex. Price is that of the
Open price of next day.
But for OVTI, the 16.04 exit price is filthily wrong. The stock
gapped down big time to 14.22, and my AmiBroker quote for OVTI of 12/1
shows 14.22 as well, so it is not the case of me having corrupted
quote data. It appears that the 16.04 exit price is the low price of
the day, but then, I never set my SellPrice at Low.
I will greatly appreciate any insights as to why my problem has
occurred. It's driving me crazy because if things like this happen, I
might get rosier results than what reality might bring.
Regards,
intermilan04
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