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Do you also have Sell Price = Open and Sell Delay = 1 in the trades
tab? Sounds like you should, since your exit logic requires the Close
in order to execute. Thus, it cannot execute until the open of the
next day at the earliest.
Personally, I find it less error prone to do this in code such that
any changes to the settings have no impact on already tested code.
e.g.
BuyPrice = Open;
SellPrice = Open,
SetTradeDelays(1, 1, 1, 1);
Also, you may want to verify that the "Allow same bar exit" is
checked and see if that makes a difference.
Just a couple of shots in the dark :(
Mike
--- In amibroker@xxxxxxxxxxxxxxx, "bean_pi314" <gkjw@xxx> wrote:
>
> I have encountered a strange exit problem while using the portfolio
> backtester and trading at the open the day after a signal. The
> strategy I am testing is a 2-5 day mean reversion system.
>
> Settings:
> In the trades tab, I set buy = Open, Delay = 1.
> Sell = C > MA(C, 5);
>
> I have noticed that I occasionally have two positions in the same
stock
> (triggered by sequential buy signals) that exit on different days
(the
> exit signal should be valid for both positions). This occurs when
the
> second position is entered the morning (i.e. at open) the day that
the
> exit signal occurs. However, when I only have a single position in
a
> stock, entry (at open) and exit (at close) occur as anticipated,
even
> when holding period is only one bar. Any thoughts or suggestions
about
> what might be wrong would be appreciated.
>
> Many thanks,
> Greg
>
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