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GP, Thanks for your reply, I was actually trying to stop a single symbol from trading more
than once per day. I allow multple symbols to trade on a day.
I have been trying to write, in AFL, a flag that gets set as soon as a trade is taken by a
symbol --
then if the next minute bar is still in the same day and a flag shows a trade
has been taken, the trade entry is canceled...
I can never get it to work. here is my last try:
Short = ((DaysSinceShortSetup == 1) AND
(TimeNum() >= EnterTadeTime) AND
(L <= MyShortPrice) AND
(TradedThisDay != True);
TradedThisDay = Hold( IIf(Short,True,False), 450);
I was trying to get the TradedThisDay flag to hold for a days worth of bars.
I have tried several other ways to do this but I can't get the short logic to set a flag after a
trade, then check this flag before it orders a trade.
(Can you tell I am getting confused, this array processing has got me crazy).
To stop the extra trades in the backtester, I would have to store each symbol that trades
,in an array that lasts for one day; then as it walks thru each minute and sees a new trade,
it checks if that symbol has traded already... then I would need to empty that array at the
begining of the next day.
In Perl I know how to empty and array, here I am still confused... like I say, my mind is
burried.
It's a joy looking at your code... I learn a lot... any Idea?
I know I am missing a n easy way
of doing this.
Thanks again,
--- In amibroker@xxxxxxxxxxxxxxx, "gp_sydney" <gp.investment@xxx> wrote:
>
> Do you mean one trade a day per symbol, or one trade a day across all
> symbols?
>
> If it's only per symbol, you could filter out all other trades in the
> main AFL code. If it's across all symbols, then I think you'd have to
> use the mid-level custom backtester, using a variable to track trades
> each day.
>
> For example, in the custom backtester add something like:
>
> dn = DateNum();
> newDay = dn != Ref(dn,-1);
> hadTradeToday = False;
>
> Then in the loops:
>
> for (i = 0; i < BarCount; i++)
> {
> if (newDay[i])
> hadTradeToday = False;
> for (sig = bo.GetFirstSignal(i); sig; sig = bo.GetNextSignal(i))
> {
> if (sig.IsEntry() && sig.IsLong())
> {
> if (hadTradeToday)
> sig.PosSize = 0;
> else
> hadTradeToday = True;
> }
> }
> bo.ProcessTradeSignals(i);
> }
>
> This code (which is not a complete custom backtest procedure, and I
> haven't tested) sets "hadTradeToday" on the very first entry of a day
> and then sets the position size to zero for all subsequent entries on
> the same day. The "hadTradeToday" flag is reset on the first bar of
> each new day.
>
> The code as written also assumes there aren't any other reasons within
> the custom backtester for a valid entry to be rejected, otherwise
> "hadTradeToday" would need to be set only when the entry was
> definitely being taken.
>
> Regards,
> GP
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "marc.sterling" <marc.sterling@>
> wrote:
> >
> > I have been having a bozo attack for five days - trying to code a
> way to limit a trade entry to
> > one per day on backtesting.
> >
> > I am running a back test on minute bars, I enter a trade when my
> conditions are met... an
> > hour os so later, the trade is stopped out as a loss when the trade
> goes against me. The
> > backtester then enters a second trade as the conditions are met again...
> >
> > I have been trying to code a way for it to enter no more than one
> trade in a day - and getting
> > nowhere... everything I try fails. (Serious Bozo attack)
> >
> > Does anybody have a simple approach to this problem. I am totally
> locked out of solutions...
> >
> > Thanks
> >
>
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