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if this is just for back testing then add a condition that checks that
the next bars range covers your trigger price
--
Cheers
Graham Kav
AFL Writing Service
http://www.aflwriting.com
2009/1/17 Steve Dugas <sjdugas@xxxxxxxxxxx>:
> 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@xxxxxxxxxxxxxxxx>
> 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@xxx> 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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