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Thanks David
I think I got it know!!
Ernie
--- In amibroker@xxxxxxxxxxxxxxx, "dbw451" <dbw451@xxx> wrote:
>
> You can only make trade decisions based on the current bar's prices
(i.e.
> today), not the next bar's prices (i.e. tomorrow). Actually AB
allows you
> to make decisions on tomorrow's prices, but that's looking into the
future
> and would not make a tradable system. I suggest you get rid of the
1 bar
> trade delay and enter a Buy on the current bar if the High is
higher than
> the previous bar's determined BuyStop level. Here's example code:
>
>
>
> SetTradeDelays(0,0,0,0);
>
> BuyStop = H*1.01; //the formula for Buy stop level;
>
> SellStop = L*0.99; //the formula for Sell stop level;
>
>
>
> yBuyStop = Ref(BuyStop,-1); // yesterday's BuyStop
>
> ySellStop = Ref(SellStop,-1);// yesrerday's SellStop
>
>
>
> BuyPrice = IIf(O > yBuyStop, O, yBuyStop); // If the Open >
yesterday's
> BuyStop, then use Open else BuyStop
>
> SellPrice = IIf(O < ySellStop, O, ySellStop); // If the Open <
yesterday's
> SellStop, then use Open else SellStop
>
>
>
> Buy = H > BuyPrice;
>
> Sell = L < SellPrice;
>
>
>
> For each current bar, you'll have the BuyStop and SellStop for the
next day.
> The backtester will use the previous day's BuyStop and SellStop
values to
> determine the signals for the current (i.e. the following) day. In
other
> words, tomorrow's trade signals will be based on today's BuyStop and
> SellStop values, however tomorrow's bar will not be processed until
it
> becomes the current bar at which time today''s BuyStop becomes the
previous
> bar's BuyStop.
>
>
>
> Hope this makes sense.
>
>
>
> Regards,
>
>
>
> David
>
> _____
>
> From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]
On Behalf
> Of Ernie Newman
> Sent: 02/26/2007 7:24 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Help NEEDED with BuyPrice
>
>
>
> Thanks for the Help David
> BUT if tomorrows High is not greater than todays high buy signal
> it still buys the high for tomorrow when if the price does not
trade
> HIGHER it shouldn't make a trade.
> In other words if tomorrows high price is less than todays high
there
> should be no trade and using your example still will buy at
tomorrows
> high even if it is less than today's high.
> Thanks
> Ernie
> --- In amibroker@xxxxxxxxx <mailto:amibroker%40yahoogroups.com>
ps.com,
> "dbw451" <dbw451@> wrote:
> >
> > Hi Ernie,
> >
> >
> >
> > I don't exactly understand what you're trying to do, but maybe
> something
> > like this helps:
> >
> >
> >
> > SetTradeDelays(1,1,1,1);
> >
> > BuyStop = Ref(H,-1)*1.01; //the formula for Buy stop level;
> >
> > SellStop = Ref(L,-1)*0.99; //the formula for Sell stop level;
> >
> >
> >
> > BuyPrice = Max( BuyStop, Low ); // make sure buy price not less
> than Low
> >
> > SellPrice = Min( SellStop, High ); // make sure sell price not
> greater than
> > High
> >
> >
> >
> > Buy = H > BuyPrice;
> >
> > Sell = L < SellPrice;
> >
> >
> >
> > If this is a buy and short system, then the Sell and SellPrice
> variables
> > should be Short and ShortPrice. One problem you'll have with the
> BuyPrice
> > and SellPrice is when they are equal to the Low or High. This
will
> not
> > reflect reality because it's pure luck to catch the high or low
> price for a
> > day. A better approach would be to use the Open price:
> >
> >
> >
> > BuyPrice = IIf(O > BuyStop, O, BuyStop); // make sure buy
> price not
> > less than Low
> >
> > SellPrice = IIf(O < SellStop, O, SellStop); // make sure sell
> price not
> > greater than High
> >
> >
> >
> > Hope this is of some use.
> >
> >
> >
> > Regards,
> >
> >
> >
> > David
> >
> >
> >
> >
> >
> > _____
> >
> > From: amibroker@xxxxxxxxx <mailto:amibroker%40yahoogroups.com>
ps.com
> [mailto:amibroker@xxxxxxxxx <mailto:amibroker%40yahoogroups.com>
ps.com]
> On Behalf
> > Of Ernie Newman
> > Sent: 02/26/2007 5:26 PM
> > To: amibroker@xxxxxxxxx <mailto:amibroker%40yahoogroups.com>
ps.com
> > Subject: [amibroker] Help NEEDED with BuyPrice
> >
> >
> >
> > I am trying to back test different systems that want to buy
> > Todays High Price + .125 and the following code works only when
the
> > next days price is > the h,-1 otherwise it will buy the h of the
> > entry day and not the day before.
> > This should a simple thing to do but I can't make it work??
> > THANKS
> > Ernie
> >
> > CondA = C > O;
> > CondB = O < C;
> > SetTradeDelays(1,1,1,1);
> > BuyStop = Ref(H,-1); // *1.01; //the formula for Buy stop level;
> >
> > SellStop = Ref(L,-1)*0.99; //the formula for Sell stop level;
> >
> > Buy = CondA;
> >
> > Sell = CondB;
> >
> > BuyPrice = Max( BuyStop, Low ); // make sure buy price not less
> than
> > Low
> >
> > SellPrice = Min( SellStop, High ); // make sure sell price not
> > greater than High
> >
>
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