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Below is a code I am playing with. The final objective is to have
backtest report that keeps ledger of buys and sells similar to
quicken. The buy side of the trades seems to work fine. On the sell
side it is selling with no open position. How can I limit the sell to
closing open positins. Many thanks in advance for you help and
comments.
/*====================================================================
==========
Global Settings
======================================================================
========*/
SetFormulaName("Testing a Creation of Trade Ledger"); /* name it for
backtest report identification */
SetBarsRequired(1000000,0); /* this ensures that the charts include
all bars AND NOT just those on screen */
SetOption("InitialEquity", 100000); /* starting capital */
SetOption("CommissionAmount",8); /* commissions AND cost */
SetOption("CommissionMode", 2); /* set commissions AND costs as $ per
trade */
SetTradeDelays( 1, 1, 1, 1);
SetOption("PriceBoundChecking", 1); /* trade only within the chart
bar's price range */
SetOption("UsePrevBarEquityForPosSizing", 1); /* set the use of last
bars equity for trade size */
SetOption("AllowPositionShrinking", True);
SetOption("MinShares", 100);
SetOption("AccountMargin", 100);
RoundLotSize = 1 ;
PositionSize = - 10; /* trade size will be 10% of available equity */
TradeDate = DateTime();
SetCustomBacktestProc("");
MaxBuys = 3; // Set no more than 4 buys per day
if( Status("action") == actionPortfolio )
{
bo = GetBacktesterObject();
bo.PreProcess();
for( i = 0; i < BarCount; i++ )
{
Symbol = " ";
TransType = "";
Rank = 0;
Shares = 0;
TransAmount = 0;
Reason = 0;
Price = 0;
cntBuys = 0;
Balance = bo.Equity;
// look at new signals and exclude signals if they exceed maxBuys
for( sig = bo.GetFirstSignal(i); sig; sig =
bo.GetNextSignal(i) )
{
// check for entry signal
if( sig.IsEntry() )
{
if( cntBuys > MaxBuys )
{
sig.PosSize = 0;
}
else
{
cntBuys = cntBuys + 1;
Symbol = sig.Symbol;
TransType = "Buy";
Rank = sig.PosScore;
Shares = round((bo.Equity / -
sig.PosSize)/sig.Price);
Price = sig.Price;
TransAmount = Shares * Price;
Balance = Balance -
TransAmount;
Reason = sig.Reason;
bo.RawTextOutput(
Symbol +
"\t" + TransType +
"\t" + DateTimeToStr(TradeDate[ i ]) +
"\t" + Price +
"\t" + Rank +
"\t" + "Shares " + Shares +
"\t" + "Amount " + TransAmount +
"\t" + "Balance " + Balance +
"\t" + "Reason " + Reason
);
}
}
else if (sig.IsExit() AND sig.Type == 2 )
{
// scan through open positions
for( openpos = bo.GetFirstOpenPos();
openpos; openpos = bo.GetNextOpenPos() ) {
// check for entry signal and long
signal
if( openpos.IsOpen AND
openpos.IsLong )
{
Symbol = sig.Symbol;
TransType = "Sell";
Rank = sig.PosScore;
Price = sig.Price;
TransAmount = Shares * Price;
Balance = Balance +
TransAmount;
Reason = sig.Reason;
bo.RawTextOutput(
Symbol +
"\t" + TransType +
"\t" + DateTimeToStr(TradeDate[ i ]) +
"\t" + Price +
"\t" + Rank +
"\t" + "Shares " + Shares +
"\t" + "Amount " + TransAmount +
"\t" + "Balance " + Balance +
"\t" + "Reason " + Reason
);
}
}
}
}
bo.ProcessTradeSignals( i );
}
bo.PostProcess();
}
//fast = Optimize("fast", 12, 5, 20, 1 );
//slow = Optimize("slow", 26, 10, 25, 1 );
Buy=Cross(MACD(12,26),Signal(12,26));
Sell=Cross(Signal(12,26),MACD(12,26));
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