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You can estimate the sequence of events using the simplest of tests O > C if O > C then the chances that OHLC (in that order) are extremely high. something over 90% and vise versa. You can do the test yourself to find out.
with amibroker you can also change of sequence of handling signals.
You just need to use the custom backtester (Low Level) where you will handle the signal yourself. You must also realise that money is otherwise available for new position using the default sell first approach will not be available. Example of CB is availale through the help file or the knowledge base.
--- In amibroker@xxxxxxxxxxxxxxx, "Pmxgs" <pmxgs@xxx> wrote:
>
> Hi Howard,
>
> thanks for yor answer which I agree with 100%.
>
> The system I'm testing, scales at fixed price intervals.
> For example: Entry at $15, scale in at $16, $17, $18 and exit at $19. In one bar price opens at $17.5 and closes at $20. In order to open at 17.5 and close at 20 I'm assuming that price has to go through 18 and 19( which is my profit target).
> I know that there is the possibility to gap up, but I'm willing to make the assumption I made before.(I've traded this sistem live and this assumption is not irrealistic. It's a forex system and the pair very rarely gaps).
> I'm already using 1 minute data for this but sometimes the last scale in signal triggers in the same bar that the profit target level.
> In summary, I know that I have to make the assumption mentioned before, but if there was the possibility to change the default behaviour of AB it would be great.
>
> thanks
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, Howard B <howardbandy@> wrote:
> >
> > 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@> 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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