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<FONT face=Arial
color=#0000ff>While I think Equis has done a good job improving their
system tester in 8.0, last night I discovered what might be a limitation that I
wouldn't have expected.
Here is
a copy of an email that I just sent to Tech Support, I'll
keep the group updated:<SPAN
class=284022517-01112002>
I was testing one of your standard Equis systems - the Bolliger
Band ("BB") one. As you may recall, the idea is that you would plot two BB's,
one would be 2 std. dev. and one at 1 std. dev. You wait for a close (for longs)
below the 2 std. BB and then back inside it to enter the trade (i.e., using the
cross function). The suggestion then is to exit the trade with profits when the
price crosses the upper 1 std. dev. band. Simple enough.
I wanted to take advantage of the ability to exit intrabar.
Thus, I wrote a condition to exit when High is greater than the upper 1 std.
band. I checked the "limit" button and entered the formula for the 1 std. band.
All went well. The exits worked fine.
Then, I wanted to add stops. I wanted to tell it to exit if the
low for any bar was lower than the entry bar (i.e., the bar the condition for
the entry was made on - the cross bar). This was simple enough to write. All I
had to do was use a ValueWhen() function with the last time the cross()
condition was met and tell it if the low was lower to exit.
When I did this, the exit did not work. Puzzled, I went back and
unchecked the "limit" order box and changed it back to market. Now the exit stop
worked but even though the formula section still told it to exit at a profit
target when the high exceeded the upper 1 std. BB, it did not (I figured it
would exit at the close of the bar for which that condition was true instead of
intrabar since I didn't have the limit button selected - but it
didn't).
I tried one other thing and that was to put both conditions in
the "limit" box. I discovered 3 things:
1. The box is very limited, you can only write a small section
of code due to space.
2. You can not reference defined formulas that you wrote above
in the regular section (i.e., I wrote a formula called IBBT := for the 1 std
dev. upper BB so I wouldn't have to keep writing the formula out)
3. You can not put both statements in the box (i.e, a different
stop and a limit).
I think these issues should be addressed in the
future.
Clearly the formulas are okay because I can get both to work
independently but not at the same time.
My questions for you are this:
When building and testing the system tester for 8.0, did you
contemplate users being able to enter both formula based limit orders for profit
targets and formula based stops at the same time to exit the position? This is
probably a very common things for a lot of traders.
I don't want to use percentage stops in my example above because
I want to adapt the system to current market conditions (i.e., using nearby lows
to judge stops) and also use the current market conditions to take profits
(i.e., the 1 std. dev BB).
If I am missing something, please let me know. I've tried
several other formulas to replace the ValueWhen/Cross/Low combination mentioned
above (still using the ValueWhen to tell me when the cross occurred but other
things that involved ATR() to set the stop levels - these didn't work
either).
Thanks in advance,
Joe J.
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