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Hi there,
I've faced an identical problem. Does anyone have an idea how to overcome this?
Thanks,
Marius
--- In amibroker@xxxxxxxxxxxxxxx, "markhoff" <markhoff@xxx> wrote:
>
>
> Hi,
>
> as a workaround it seems that I can cheat AB by setting:
> SetTradeDelays(1,1,1,1);
> This will move the closing trades to the next bar, but it will result
> in a wrong reporting from the backtester, because now the "Exit Date"
> for the trade is for instance no longer "day 3" in my example but "day
> 4". I still hope anybody has a better idea how to solve this issue ...
>
> Best regards,
> Markus
>
> --- In amibroker@xxxxxxxxxxxxxxx, "markhoff" <markhoff@> wrote:
> >
> > Hi folks,
> >
> > I have a problem with the backtester. I have a trading system which
> > opens all positions on OPEN price and closes all positions CLOSE
> > price. Maximum number of positions is set to 1. Now, if I might have
> > the situation below:
> >
> > Day 1 2 3 4 5
> > Trade #1 (A) BUY@xxxxxxxxxxxxxxxx>SELL@xxxxx
> > Trade #2 (B) BUY@xxxxxxxxxxxxxxxx>SELL@xxxxx
> >
> > Trade #1 with symbol (A) has a SELL signal on day 3 and some other
> > symbol (B) has a BUY signal on the same day, and this causes AmiBroker
> > to make trade #2 also on day 3.
> > But, in fact this is not possible because there is no
> > cash available on day 3 to BUY@xxxx (because first I must SELL trade
> > #1). Therefore, the correct behaviour would be to start trade #2 on
> > day 4 after the other position for trade #1 was closed. It seems that
> > AB always asumes that the cash for closing positions is available at
> > the same bar to start new trades. Please see also the code below.
> >
> > How can I force AB to consider that cash from a SELL@xxxxx is not
> > available on the same bar?
> >
> > Thanks in advance and best regards,
> > Markus
> >
> > //--- cut here ---
> > Buy = Sell = Short = Cover = False;
> > BuyPrice = SellPrice = ShortPrice = CoverPrice = 0;
> > SetOption("MaxOpenPositions", 1);
> > SetPositionSize(100, spsPercentOfEquity);
> > SetTradeDelays(1,0,1,0);
> > TradeDays = 3;
> > BuyPrice = ShortPrice = Open;
> > SellPrice = CoverPrice = Close;
> > Buy = ExRemSpan(True, TradeDays);
> > Sell = Ref(Buy, -TradeDays);
> > //--- cut here ---
> >
>
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