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Hi Pedro --
For any single bar, you know the values of four data points -- Open, High, Low, and Close. You know the time of two data points -- Open and Close. There is no way to determine the sequence in which any prices other than Open and Close occur.
You can, within one bar do any of these things:
1. Buy the Open. Then exit at a stop, at a limit, or at the Close.
2. Buy sometime within the bar at a stop or at a limit. Then sell at the Close.
3. Buy at the Open. Then sell at the Close.
These have no scaling. You are certain of enough information to make one entry and one exit. You cannot rely on assumptions of prices that would both buy and
sell within a single bar -- that is after the open but before the
close.
It sounds like you need bars with finer resolution, then take the actions you can be sure of without ambiguity in each bar.
Thanks,
Howard
On Tue, Feb 23, 2010 at 6:55 AM, Pmxgs <pmxgs@xxxxxxxxxx> wrote:
Hello,
in the system I'm coding I have several scale in signals and it's working the way I expect, except at some bars which have both a scale in signal and the sell signal (profit target).
I ran the backtest in the detailed log mode and from my understanding AB first closes the position (based on the sell signal) and then opens a new one (based on that scale in signal), which is not what I want.
I want to scale in first and after that close the position.
I should note that I'm not trading at the close nor at the open. I scale in at several prices inside each bar, and the scale in price in below the sell price (in the case of a long position).
Is it possible to change the default behaviour of AB, so that it scales in
first and only then, exit the position? (in these cases where we have both
signals on the same bar)
thanks,
Pedro
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