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I noticed that AB would just buy at the Low price of the day if my
BuyPrice was too low, if I turned on SetTradeDelays. That just seemed
silly to me since no one can get those levels.
I like to enter a trade NOT at the open or close of the next trading
day but at a certain price level. I like the backtester to
eliminate those trades that wouldn't go through of course. Any help
would be greatly appreciated..
--- In amibroker@xxxxxxxxxxxxxxx, "Steve Dugas" <sjdugas@xxx> wrote:
>
> Hi - What exactly are you trying to do?
>
> You can set trade prices to whatever you want by defining the
> BuyPrice / SellPrice / ShortPrice / CoverPrice variables.
> With price bound checking set to False, AB will use your defined
prices.
> When you turn price bound checking on, AB will verify that your
trade price
> is within the ticker's actual High-Low range and if it isn't AB will
> substitute a legitimate price ( within actual range ).
>
> Steve
>
> ----- Original Message -----
> From: "Andy" <senft@xxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Friday, January 16, 2009 7:32 PM
> Subject: [amibroker] Re: Finding next day signals
>
>
> > SetOption("PriceBoundChecking", True) doses't really work like it's
> > suppose to do. That would be a nice future feature of Amibroker to
> > have actually.
> >
> > I like to enter a trade NOT at the open or close of the next trading
> > day but with a certain price level. I like the backtester to
> > eliminate those trades that wouldn't go through of course. Any help
> > would be greatly appreciated..
> >
> > Three
> >
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Andy" <senft@> wrote:
> >>
> >> Okay, I think I'm getting closer thankful to the Yahoo Search engine
> >> that now works.
> >>
> >> I'm now using the SetTradeDelays function so that the backtester will
> >> trade the following day. I have the revised code below thinking
that
> >> this will backtest using today's signals to either buy or sell
> >> tomorrow using tomorrow's price targets. The AmiBroker explorer
> >> function will report Next Day's Target prices every day. Is the
> >> below code legit for this? Am I missing something or do you have an
> >> comments?
> >>
> >> Thank you!
> >>
> >> Three
> >>
> >>
> >>
> >>
> >> // Simple ATR Script by Andrew Senft
> >> //
> >>
> >> // One position at a time
> >> SetOption("MaxOpenPositions", 1 );
> >>
> >> // Trade tomorrow
> >> SetTradeDelays(1,1,0,0);
> >>
> >> // Make sure that tomorrow's price is tradable
> >> SetOption("PriceBoundChecking", True);
> >>
> >> // Optimization
> >> BuyOffSet = 2; //Optimize("BuyOffSet",2,1,20,1);
> >> BuyATRPeriod = 1; //Optimize("BuyATRPeriod",1,1,5,1);
> >> ATRMultiplier = 1; //Optimize("ATRMultiplier",1,0.7,1.20,.1);
> >>
> >> // ATR funciton
> >> Graph8 = HHV(High - ATRMultiplier * ATR(BuyATRPeriod), BuyOffset);
> >>
> >> // Finding a Buy or Sell signal
> >> Buy = Cross(Close,Graph8);
> >> Sell = Cross(Graph8,Close);
> >>
> >> // Either Buy or Sell it
> >> Buy = ExRem(Buy,Sell);
> >> Sell = ExRem(Sell,Buy);
> >>
> >> // Tomorrow's target prices
> >> BuyPrice = Ref(Graph8,-1);
> >> SellPrice = Ref(Graph8,-1);
> >>
> >> // Explore reporting every trading day
> >> Filter=(1);
> >> AddColumn( IIf(Buy==1,1,IIf(Sell==1,-1,0) ), "Long/Sell", 1.0);
> >> AddColumn( BuyPrice, "Tomorrow's Target Price");
> >> AddColumn( Graph8, "Today's Target Price" );
> >> AddColumn( ATR(BuyATRPeriod), "ATR " );
> >> AddColumn( O, "Open ");
> >> AddColumn( H, "High ");
> >> AddColumn( L, "Low ");
> >> AddColumn( C, "Close ");
> >>
------------------------------------
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