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hi,
I wonder if somebody has been using the CBI (Custom
backtester Interface) to perform a sigScaleOut (or sigScaleIn). Here is the
problem: In a test setup I enter 3 contracts of ES futures. The code uses 3
targets and a trailing stop loss. In some cases it can work without using the
CBI. However if the first sigScaleOut signal falls at the same bar where the
trade is entered there is a problem because both the entry and the scaleOut are
stored in the Buy array.
Next problem that occurs is that if the first and
the second scaleOut targets are hit during the same bar. Again we can only store
one or the other.
Using the low level CBI (I assume using
ScaleTrade() ) can overcome this problem. Anyone know how to
implement this? A simple example will do.
Illustrated is the left entry signal scales out
nicely (blue arrows) and the last contract is sold at the trailing stop. The
second signal however both the first and the second scaleOut are at the bar
following the entry bar (in this setup I do not allow to exit during the bar of
entry). The backtester will sell only 1 contract at the scaleOut point and will
sell 2 contracts at target number 3. This is wrong.
thx, rgds, Ed
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