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Interesting. I could not find anything in the user guide saying that you can set sell/cover signal to 4 or other value to affect the way stops behave. (The only thing I found was in Equity() function, sell/cover arrays would be filled with some number to indicate what kind of exit has taken place)
To handle the complex situation you described, I think that low level CBT would be the right way to go.
--- In amibroker@xxxxxxxxxxxxxxx, "Brandon_Ridenour" <brandon_ridenour@xxx> wrote:
>
> I may have found a solution to this. When I manually set the sell/cover signal, I am now setting it to a value of '4', rather than '1'. When setting it this way, ActivateStopsImmediately seems to apply properly.
>
> Basically, this fakes out as if I were using the ApplyStops function (i think)
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Brandon_Ridenour" <brandon_ridenour@> wrote:
> >
> >
> > I noticed this additional note:
> >
> > "a) (if you want to have stops executed AFTER regular signals, so cash from stopped out positions is NOT available to enter trades the same day)
> > ActivateStopsImmediately turned ON "
> >
> >
> > It seems to suggest that ActivateStopsImmediately addresses this issue of making sure the freed up equity is not made available the same day.
> >
> >
> > In my case, because I have custom stop logic and am not using the ApplyStops function, I am using regular Sell/Cover signals to close positions. I set tradedelays(1,0,1,0).
> >
> > If I understand the logic correctly, the backtester is improperly using my capital in this scenario, and because my stop logic is custom, activatestopsimmediately is not effective.
> >
> > Is there any way to prevent this issue from occurring?
> >
> > Thanks
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "sfclimbers" <sfclimbers@> wrote:
> > >
> > > Read the notes provided for ActiveStops and see if you recognized your strategy.
> > >
> > > http://www.amibroker.com/guide/afl/afl_view.php?id=20
> > >
> > > You may find that changing the setting (from AA window) for
> > >
> > > ActivateStopsImmediately will fix your problem.
> > >
> > > Mike
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "Brandon_Ridenour" <brandon_ridenour@> wrote:
> > > >
> > > >
> > > > By the way, i have trade delays for Buy and Short set to 1, meaning it buys on the morning after the signal is generated. I just need it to use the available balance from either the day the signal was generated, or at the exact market open. It seems to be calculating available funds/balance based on the close of the next day.
> > > >
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx, "Brandon_Ridenour" <brandon_ridenour@> wrote:
> > > > >
> > > > > Hi,
> > > > >
> > > > > I have a system that opens positions only at the market open of a trading day. At market open, it should calculate the position size based on the funds currently available at that time.
> > > > >
> > > > > Today there was a signal at market open but no funds available. Later during the day, a trailing stop was hit on one of my open positions, causing that position to be closed.
> > > > >
> > > > > Tonight when I updated all quotes and ran the backtest, Amibroker shows the position from market open being opened, even there are no funds available. I can only assume that it believes funds were available because of the position which was exited later in the day.
> > > > >
> > > > > Obviously, the system should not be able to use funds which have not actually come available yet. How can I ensure that it will only open positions if the funds are available at market open?
> > > > >
> > > > > Thanks,
> > > > > Brandon
> > > > >
> > > >
> > >
> >
>
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