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Re: [amibroker] Re: Simple Buy on Close, Sell on Open not as expected


  • Date: Wed, 03 Feb 2010 22:43:00 -0500
  • From: Keith McCombs <kmccombs@xxxxxxxxxxxx>
  • Subject: Re: [amibroker] Re: Simple Buy on Close, Sell on Open not as expected

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The code is right in Bruce's code below.  As for "#include <Boilerplate. afl>", you can down load it for free from amibrokeru.com.  Look for "Boilerplate – Automatic Analysis Backtest Settings", in "Free Library".
-- Keith

silon sama wrote:
 

hi can u send me code plssssssssss

--- On Mon, 2/1/10, Bruce <brucer@xxxxxxnet> wrote:

> From: Bruce <brucer@xxxxxxnet>
> Subject: [amibroker] Re: Simple Buy on Close, Sell on Open not as expected
> To: amibroker@xxxxxxxxxps.com
> Date: Monday, February 1, 2010, 10:09 PM
>
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> Keith -
>
>
>
> Short followup. Had some time last night to think about
> what might be different with your setup. These types of
> issues with dup'ing results are why I originally did
> BoilerPlate. afl and put it on AmibrokerU.com.
>
>
>
> So, the following code puts everything in a known state (as
> much as is possible), and then sets the options and trade
> delays. I believe that this matches your goal - buy every
> day at close and sell the next day at the open -
>
>
>
> #include <Boilerplate. afl>
>
> Buy = 1;
>
> Sell = Short = Cover = 0;
>
> BuyPrice = Close;
>
> SellPrice = Open;
>
>
>
> SetOption( "ActivateStopsImmed iately", False );
>
> SetOption( "AllowSameBarExit" , True );
>
>
>
> SetTradeDelays( 0, 0, 0, 0 );
>
> ApplyStop( stopTypeNBar, 1, 0, 0, False, 0 );
>
>
>
> --- In amibroker@xxxxxxxxx
> ps.com, "Bruce" <brucer@xxx> wrote:
>
> >
>
> > Keith -
>
> >
>
> > Works for me. Make sure that your trade delays are
> set to 0, or add
>
> >
>
> > SetTradeDelays( 0, 0, 0, 0 );
>
> >
>
> > -- Bruce
>
> >
>
> > --- In amibroker@xxxxxxxxx
> ps.com, Keith McCombs <kmccombs@> wrote:
>
> > >
>
> > > Bruce --
>
> > > Sorry, that doesn't do it. All the sell
> prices are of the open for the
>
> > > SAME day as the buy, not the NEXT day.
>
> > > Same result as:
>
> > > |*Buy* = 1;
>
> > > *Short* = *Cover* = 0;
>
> > > *Sell* = 1;
>
> > > *BuyPrice* = *Close*;
>
> > > *SellPrice* = *Open*;
>
> > > SetOption("AllowSam eBarExit" ,
> *True*);|
>
> > >
>
> > > without the |ApplyStop(* stopTypeNBar* , 1, 0, 0,
> *False*, 1);|
>
> > > -- Keith
>
> > >
>
> > > Bruce wrote:
>
> > > >
>
> > > >
>
> > > >
>
> > > >
>
> > > > Keith -
>
> > > >
>
> > > > Perhaps this way will work better for you -
>
> > > >
>
> > > > Buy = 1;
>
> > > > Sell = Short = Cover = 0;
>
> > > > BuyPrice = Close;
>
> > > > SellPrice = Open;
>
> > > > SetOption( "AllowSameBarExit" ,
> True );
>
> > > > ApplyStop( stopTypeNBar, 1, 0, 0, False, 0
> );
>
> > > >
>
> > > > BTW, I don't know your motivation for
> doing this. But, I did something
>
> > > > similar a while back to explore the
> percentage of the Close to Close
>
> > > > moves that were overnight vs. during the
> day, and then the persistency
>
> > > > of the direction. It raises some interesting
> questions.
>
> > > >
>
> > > > -- BruceR
>
> > > >
>
> > > > --- In amibroker@xxxxxxxxx
> ps.com <mailto:amibroker% 40yahoogroups. com>,
>
> > > > B S <bs2167@> wrote:
>
> > > > >
>
> > > > > Anthony- Off-topic question if you
> don't mind - what do the numbers
>
> > > > in parantheses next to "Long" in
> the Trade column signify?
>
> > > > >
>
> > > > > Â
>
> > > > >
>
> > > > >
>
> > > > >
>
> > > > > ____________ _________ _________ __
>
> > > > > From: Anthony Faragasso
> <ajf1111@>
>
> > > > > To: amibroker@xxxxxxxxx
> ps.com <mailto:amibroker% 40yahoogroups. com>
>
> > > > > Sent: Sat, January 30, 2010 1:36:51 PM
>
> > > > > Subject: Re: [amibroker] Simple Buy on
> Close, Sell on Open not as
>
> > > > expected
>
> > > > >
>
> > > > > Â
>
> > > > > ----- Original Message -----
>
> > > > > >From: Keith McCombs
>
> > > > > >To: amibroker@xxxxxxxxx ps.com
>
> > > > > >Sent: Saturday, January 30, 2010
> 12:54 PM
>
> > > > > >Subject: Re: [amibroker] Simple Buy
> on Close, Sell on Open not as
>
> > > > expected
>
> > > > > >
>
> > > > > >Anthony --
>
> > > > > >Thanks for your effort. I tried
> your exact code (copy and
>
> > > > paste). It still skips every other day.
>
> > > > > >
>
> > > > > >Also, I reduced the code to
> absolute minimum as:
>
> > > > > >Buy= 1;
>
> > > > > >BuyPrice= Close;
>
> > > > > >Sell= Ref(Buy, -1);
>
> > > > > >SellPrice= Open;
>
> > > > > >
>
> > > > > >Been through my settings many
> times. Still the same.
>
> > > > > >
>
> > > > > >
>
> > > > > >BTW, I'm running 5.26beta.
>
> > > > > >
>
> > > > > >-- Keith
>
> > > > > >
>
> > > > > >
>
> > > > > >Anthony Faragasso wrote:
>
> > > > > >Â
>
> > > > > >>Keith
>
> > > > > >>
>
> > > > > >>give this a try:
>
> > > > > >>
>
> > > > > >>Settings window:
>
> > > > > >>
>
> > > > > >>allow same bar exit is enabled
>
> > > > > >>all stops are disabled
>
> > > > > >>
>
> > > > > >>In the trades window of the
> settings I set up the trades as
>
> > > > follows probably do not need it :
>
> > > > > >>buy=close, delay 0;sell=open,
> delay 0
>
> > > > > >>short=close, delay 0 ,cover =
> open, delay 0
>
> > > > > >>// BuyClose SellOpen Daily.afl
>
> > > > > >>SetTradeDelays( 0,0,0,0);
>
> > > > > >>Buy = Ref(Close,-1) ;
>
> > > > > >>BuyPrice = ValueWhen(Buy,
> Ref(C,-1) );
>
> > > > > >>Sell = Open;
>
> > > > > >>SellPrice = Open;
>
> > > > > >>Short = Cover = False; // long
> only strategy
>
> > > > > >>Â
>
> > > > > >>----- Original Message -----
>
> > > > > >>>From: Keith McCombs
>
> > > > > >>>To: amibroker@xxxxxxxxx
> ps.com
>
> > > > > >>>Sent: Saturday, January 30,
> 2010 1:09 AM
>
> > > > > >>>Subject: [amibroker] Simple
> Buy on Close, Sell on Open not as
>
> > > > expected
>
> > > > > >>>
>
> > > > > >>>Â
>
> > > > > >>>Just fooling around with a
> very simple idea, but can't get the
>
> > > > code to work.
>
> > > > > >>>The idea is to sell at
> close of every day, hold over night, and
>
> > > > sell at open the following day.
>
> > > > > >>>Code below sorta works, but
> skips every other day. For example:
>
> > > > > >>>Day 1, buy on close; Day2,
> sell on open.
>
> > > > > >>>Day 3, buy on close; Day4,
> sell on open.
>
> > > > > >>>etc.
>
> > > > > >>>But I can't make it buy
> on close of days 2, 4, etc.
>
> > > > > >>>Tried "Allow same bar
> exit" in settings, but that makes it sell
>
> > > > the same day that it buys, which is wrong.
>
> > > > > >>>
>
> > > > > >>>// BuyClose SellOpen
> Daily.afl
>
> > > > > >>>SetTradeDelays( 0,1,0,0);Â
> Â // has no effect
>
> > > > > >>>Buy= Close;
>
> > > > > >>>BuyPrice= Close;
>
> > > > > >>>Sell= Open;
>
> > > > > >>>SellPrice= Open;
>
> > > > > >>>Short= Cover= False; //
> long only strategy
>
> > > > > >>>Buy= ExRem(Buy, Sell);Â Â
> // has no effect
>
> > > > > >>>Sell= ExRem(Sell, Buy);Â
> Â // has no effect
>
> > > > > >>>
>
> > > > > >>>Well?
>
> > > > > >>>-- Keith
>
> > > > > >>>
>
> > > > >
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