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@xxxxxxxxxps.com,
"Edward Pottasch" <empottasch@...>
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
>