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Ed,
Can't see your attachment, but where the two scale-outs are at the
same bar, can't you just combine the position sizes for that bar so
that the one scale-out signal has a larger position size?
Similarly for the buy and scale-out at the same bar, can't you reduce
the position size for the buy by the position size for the scale out
and just take a smaller position for the buy signal?
Regards,
GP
--- In amibroker@xxxxxxxxxxxxxxx, "Edward Pottasch" <empottasch@xxx>
wrote:
>
> 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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