[amibroker] Re: BUY and SELL signal on same bar cashflow problem

["markhoff" <markhoff@xxxxxx>]

Hi,

as a workaround it seems that I can cheat AB by setting:
SetTradeDelays(1,1,1,1);
This will move the closing trades to the next bar, but it will result
in a wrong reporting from the backtester, because now the "Exit Date"
for the trade is for instance no longer "day 3" in my example but "day
4". I still hope anybody has a better idea how to solve this issue ...

Best regards,
Markus

--- In amibroker@xxxxxxxxxxxxxxx, "markhoff" <markhoff@xxx> wrote:
>
> Hi folks,
> 
> I have a problem with the backtester. I have a trading system which
> opens all positions on OPEN price and closes all positions CLOSE
> price. Maximum number of positions is set to 1. Now, if I might have
> the situation below:
> 
> Day             1          2          3          4          5
> Trade #1 (A) BUY@xxxxxxxxxxxxxxxx>SELL@xxxxx
> Trade #2 (B)                       BUY@xxxxxxxxxxxxxxxx>SELL@xxxxx
> 
> Trade #1 with symbol (A) has a SELL signal on day 3 and some other
> symbol (B) has a BUY signal on the same day, and this causes AmiBroker
> to make trade #2 also on day 3.
> But, in fact this is not possible because there is no
> cash available on day 3 to BUY@xxxx (because first I must SELL trade
> #1). Therefore, the correct behaviour would be to start trade #2 on
> day 4 after the other position for trade #1 was closed. It seems that
> AB always asumes that the cash for closing positions is available at
> the same bar to start new trades. Please see also the code below.
> 
> How can I force AB to consider that cash from a SELL@xxxxx is not
> available on the same bar?
> 
> Thanks in advance and best regards,
> Markus
> 
> //--- cut here ---
> Buy = Sell = Short = Cover = False;
> BuyPrice = SellPrice = ShortPrice = CoverPrice = 0;
> SetOption("MaxOpenPositions", 1);
> SetPositionSize(100, spsPercentOfEquity);
> SetTradeDelays(1,0,1,0);
> TradeDays = 3;
> BuyPrice = ShortPrice = Open;
> SellPrice = CoverPrice = Close;
> Buy = ExRemSpan(True, TradeDays);
> Sell = Ref(Buy, -TradeDays); 
> //--- cut here ---
>



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