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Thanks Steve. I will try that. For some reason I was under the
impression that SellPrice, CoverPrice etc could only be set to one of
four *conditions* (Open, High, Low, Close), and that we could not add
or subtract actual numbers from "SellPrice" in real time in the AFL.
In real life, I would exit the trade immediately on the same bar, if I
could. In the backtester, I set a one-bar trade delay, as I thought
that would be more realistic to the way signals are handled in live
trading. But maybe that assumption is incorrect.
Over the next month, I plan to play around with a live virtual account
at a broker to get a better understanding of this.
--- In amibroker@xxxxxxxxxxxxxxx, "_sdavis" <_sdavis@xxx> wrote:
>
> I think you can do this:
>
> SetTradeDelays(1,1,1,1);
> slippage = ...
> SellPrice = Open - slippage;
> CoverPrice = Open + slippage;
>
> However, this may not reflect the way you will actually trade. The
> backtested system has a 1 bar trade delay. How are you planning to
> trade this in real life? If the profit target or stop level is
> detected in real-time will you exit the trade immediately or wait
> until the next bar?
>
> -Steve
>
> --- In amibroker@xxxxxxxxxxxxxxx, "ozzyapeman" <zoopfree@> wrote:
> >
> > Hi. I am hoping anyone out there can check this code and perhaps
give me
> > some pointers on how to do the actual scaling up and down of the exit
> > prices?
> >
> > To mimic a more realistic backtesting model for trading Forex, I
want to
> > scale the backtester's exit prices down 2 pips if a Sell and up 2 pips
> > if a Cover. My actual trade system has a 1-bar trade delay so not sure
> > how that affects the below code. I added a generic trade system
to the
> > below code for the sake of simplicity.
> >
> > Is this the correct approach? Or do I need to add some custom metrics?
> > I'm not too sure if this approach is the right way. And I'm still
> > missing the meat and potatoes - in the two "ADD CODE HERE" sections:
> >
> > // Custom Backtester Code to add Slippage to Forex trades
> > //
> > // We Sell and Cover on Open.
> > // But we want actual Sell prices to be slipped down by 2 pips and
> > // actual Cover prices to be slipped up by 2 pips.
> >
> > // First we need to enable custom backtest procedure AND
> > // tell AmiBroker to use current formula
> >
> > SetCustomBacktestProc("");
> >
> > // Now custom-backtest procedure follows
> >
> > if( Status("action") == actionPortfolio )
> > {
> > bo = GetBacktesterObject();
> >
> > bo.Backtest(1); // run default backtest procedure
> >
> > // iterate through closed trades first
> >
> > for( trade = bo.GetFirstTrade(); trade; trade =
bo.GetNextTrade() )
> > {
> > if( sig.IsLong() AND sig.IsExit() ) //check if the
signal is
> > a Sell of a Long position
> > {
> > // ADD CODE HERE: NEED TO REDUCE THE SELL EXIT PRICE BY
> > 0.0002
> > }
> >
> > if( NOT sig.IsLong() AND sig.IsExit() ) //check if the
> signal is
> > a Cover of a Short position
> > {
> > // ADD CODE HERE: NEED TO INCREASE THE COVER EXIT
PRICE BY
> > 0.0002
> > }
> > }
> > }
> >
> > // your trading system here
> >
> > fast = Optimize( "fast", 12, 5, 20, 1 );
> > slow = Optimize( "slow", 26, 10, 25, 1 );
> > Buy=Cross( MACD( fast,slow ),Signal( fast,slow ) );
> > Sell=Cross( Signal( fast,slow ),MACD( fast,slow ) );
> > BuyPrice = SellPrice = ShortPrice = CoverPrice = Open;
> >
>
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