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I am trying to back test a day trading system using end of day data. The system can produce a long and short position on the same day. All positions are closed at a profit target or on the close. The majority of the time the (98%) the system only produces 1 trade, either long or short. However, on the days when the system triggers both long and short trades the back test result is only capturing the long trade. I have also coded the system as an exploration and the exploration will only capture the long position.
Under the settings I have selected reverse entry forces exit and allow same bar exit. I know there is a way to for AB to pick up both signals but I am stumped?
The system has the following rules:
X is less than Y
Buy Entry level & Short target = x
Sell Short Level & Buy target = y
Long entry 1 Go long when open is less than or equal to x
Long entry 2 Go long when open is greater than or equal to y AND low less than or equal to x
Short entry 1 Go short when open is greater than or equal to y
Short entry 2 Go Short when open is less than or equal to x AND high is greater than or equal to y
Long exit = if high is >= Y or MKT on close
Short exit = if low is <= x or MKT on close
Any suggestions on how to get the back test and the exploration working is appreciated.
Thanks in advance,
Spike
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