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Thanks for the tips Mike.
I checked and did have "Allow same bar exit selected." I also tired
your suggestion of setting the buyprice, sellprice and trade delay in
the code rather than through the GUI. I ended up getting the same
results, so I'm still working the problem.
I did notice the problem only occurs when I try to enter at the open
the day after I get a buy signal and exit on the close the day of a
sell signal. I don't think the problem is strictly related to the
exit logic since when I enter on the close the day a buy is generated
AND exit on the close the day a sell signal is generated there is no
problem (everything works as anticipated). Likewise, if I wait until
the following open for both entries and exits - no problem.
Unfortunately, neither of these approaches is exactly what I'm
after.... Waiting until the open would be easier to implement and I
think should result in better results.
Again, thanks for your help!
Greg
--- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@xxx> wrote:
>
> 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@> 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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