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I believe that if you set the BuyPrice, SellPrice, ShortPrice and
CoverPrice when the logic indicates a trade then back tester will
handle the prices and trades correctly. What I mean is if the buy is
on the open BuyPrice is set to the open price. If the the cover is on
the close or anywhere in the bar then you set Cover price to that
value and you should get the correct prices and trades in back test.
I never had a trade within one bar so I am not sure if this will
work.
Barry
--- In amibroker@xxxxxxxxxxxxxxx, "cipherscribe"
<adrian.mollenhorst@xxx> wrote:
>
> Hi there,
>
> A bit of a strange one, I have.
>
> My buy is on the open at the opening price. My sell is equivalent
to a
> profit stop, selling when price exceeds a threshold price.
>
> In backtesting, when a trade exits as a result of price exceeding
the
> threshold, if that bar also happens to be a candidate for a buy, the
> backtester will assume the first trade has exited, and will report
> another trade on that bar (at the open price) - which happens to
exit
> on the same bar, since entry and exit criteria exist on the same
bar.
> This is skewing my results fairly significantly.
>
> Has anyone had this issue, and is there a way around it?
>
> There are alot of valid trades that are only 1 bar long, so I can't
> simply uncheck "Allow same bar exit".
>
> I need to be able to tell the backtester that there if there is a
> trade that exists at the time of open, so ignore the trade for that
> bar, if that existing trade exits later in the bar.... That sounded
> horrible, but hopefully you will get my drift...
>
> Perhaps if I could find a way to determine if I was in a trade on
the
> previous bar, I would be able to exclude any buys on the current
bar?
>
>
>
> snip___________
>
> Forget the above, I have worked it out. I thought I should still
post
> so others might know how to do it, should they have the same
problem.
>
> I added the 'flip' function so AB would know if I was in a trade on
> the previous bar:
>
> InTrade = Flip( Buy, Sell );
> InTrades = Flip( Short, Cover );
>
> Buy = Buy AND NOT Ref(intrade,-1);
> Short = Short AND NOT Ref(intrades,-1);
>
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