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I have a system where there tends to be whipsaws at transition points between Long and Short. If there has been an uptrend and the system is long when a change occurs where it should go short there are a few bars of confusion where the system goes short/long/short/long and the finally short again for the move down. A similar thing is happening when the system need to transition from short back to long.
The first thing I thought of is to suppress new trades for a few bars after the first trade of these little groups of whipsaws. Some sort of BarsSince last trade as a filter. That may work, but I am not sure how to code that as there seems to be 4 cases of possible transitions, also multiple buys/sells tend to confuse the picture. How would I code that?
Is there a better way to accomplish the task? Any help is appreciated
Sid
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