System Testing

[TKruzel <TKruzel@xxxxxxxxxxxxxxxx>]

MetaStocker's,

There is a type of trading scenario that I would like to test for
in MetaStock. So far I have been unsuccessful in trying to do it.
If any of you out there have succeeded testing the following
scenario (with MetaStock or any other product) I would appreciate
hearing from you. 

Imagine the following trade. At some price bar, a buy signal is 
triggered and I enter the trade. The entry price is the CLOSE of that
bar. Now, I wish to exit the trade at the first instance that the stock
trades at CLOSE+1/2 (a half point of profit). To do this I must check 
the HIGH of each subsequent bar. The CLOSING prices of the subsequent 
bars may never achieve a value of CLOSE+1/2, but the HIGH of the very 
next bar might very well achieve a value of CLOSE+1/2. As soon as the
HIGH exceeds CLOSE+1/2 I would exit the trade with 1/2 point profit.

The System Tester bundled with MetaStock does not allow for the above
type of scenario. The System Tester requires using the same price on
each bar for both entries and exits (i.e. CLOSE/CLOSE, OPEN/OPEN, etc.).
So, if the FUTURE CLOSES never get above the value of ENTRY CLOSE+1/2
then MetaStock would end up counting the trade as a looser (assuming
that some STOP would take you out). However, the trade may have
actually been a winner because some future HIGH did exceed the value
of CLOSE+1/2.

Because of this limitation in the MetaStock System Tester I have been
trying to program my own system tester using MetaStock's Expert Adviser
and the Indicator Builder programming language. However, due to the
archirecture of the MetaStock programming language it is impossible to
build a system tester for the case that the exit criteria is based
upon the entry criteria. (I have MetaStock support folks looking at 
this, however, I am not optimistic.)

Here is a sketch of the trade I described above.

                     HIGH | 
                          | <--- CLOSE + 1/2
                          | 
                _|_       |
        CLOSE  |   |     _|_
               |   |    |   |    
               |   |    |___|     
               |___|      |       _|_
                 |       (2)     |   | 
                (1)              |   |
                                 |___|
                                   |
                                  (3)

a) A trade is entered at the CLOSE of bar (1). The exit target price
   is CLOSE + 1/2

b) The HIGH of bar (2) exceeds the value of CLOSE + 1/2. The trade
   is exited and counted as profitable (profit of 1/2 point).

c) The MetaStock System Tester looks only at the closing prices of 
   bars (2) and (3). The closing prices of bars (2) and (3) do not
   exceed CLOSE + 1/2. If the close of bar (3) triggers a STOP the 
   trade is exited and accounted for as a loss.

One would not think that doing this should be very difficult, but so
far I have found it to be impossible.

Thanks,
Regards,
Tim Kruzel