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Tomasz,
I think that NEVER is too strong a warning here. The following seems perfectly valid for current day limit order entries and next day open exits:
SetTradeDelays(0, 1, 0, 0);
Setup = ...;
Limit = Ref(Close, -1) * 0.95;
BuyPrice = Min(Open, Limit);
Buy = Ref(Setup, -1) AND Low <= BuyPrice;
Sell = Cross(Close, ...);
SellPrice = Open;
I believe that the above will backtest just fine. The advantage is that it can also be run as a nightly exploration for generating a list of next day limit entries and next day open exits, which can then be sent to your broker before the opening bell.
e.g.
Filter = Setup OR Sell;
Your warning about not destroying the sequence is what is important, not whether the values are all the same.
Mike
--- In amibroker@xxxxxxxxxxxxxxx, Tomasz Janeczko <groups@xxx> wrote:
>
> Hello,
>
> You got it all wrong
> 1. You should NEVER use different buy/sell delays in SetTradeDelays. So
> either use SetTradeDelays( 0, 0, 0, 0 )
> or use SetTradeDelays( 1, 1, 1, 1 ).
> What SetTradeDelays does is internally Ref() the buy or sell array.
> If you are using unequal delays (as you did) and buy delay is greater
> than sell delay
> you could move buy signals AFTER sell signals, destroying original
> sequence of events.
> 2. trade length includes ENTRY bar, 1st day is ENTRY bar, therefore if
> you need to exit at 3rd day
> you should use -2 (not -3) in the ref() function call, because bars are
> counted: 0, 1, 2.
> Then you won't have problem with your "exit date".
> 3. Actually the best way to implement n-bar delay is to use ApplyStop
>
> |ApplyStop( *stopTypeNBar*, *stopModeBars*, 3 );|
>
> ApplyStop works in ALL BACKTESTER MODES (raw, raw2, rotational) and
> regardless of trade delays.
> ExRemSpan is *obsolete* and it works only in regular mode, therefore
> should be avoided.
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
>
> On 2010-03-09 02:06, Mike 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 ---
> >>>>
> >>>>
> >>>
> >>
> >
> >
> >
> > ------------------------------------
> >
> > **** IMPORTANT PLEASE READ ****
> > This group is for the discussion between users only.
> > This is *NOT* technical support channel.
> >
> > TO GET TECHNICAL SUPPORT send an e-mail directly to
> > SUPPORT {at} amibroker.com
> >
> > TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
> > http://www.amibroker.com/feedback/
> > (submissions sent via other channels won't be considered)
> >
> > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> > http://www.amibroker.com/devlog/
> >
> > Yahoo! Groups Links
> >
> >
> >
> >
> >
>
------------------------------------
**** IMPORTANT PLEASE READ ****
This group is for the discussion between users only.
This is *NOT* technical support channel.
TO GET TECHNICAL SUPPORT send an e-mail directly to
SUPPORT {at} amibroker.com
TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
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