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Re: [EquisMetaStock Group] Timing of Order types in system tester



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Just an additional thought.  You may consider using something like

    T = C - Ref(C,-1)

which you can also get using the ROC function, and then as rule use

    T > 0

or

    T < 0

or whatever applies.  The reason for this is that you now have
constructed a new indicator that you can plot and inspect and lag
and so on.

Regards
MG Ferreira
TsaTsa EOD Programmer and trading model builder
http://www.ferra4models.com
http://fun.ferra4models.com 





--- In equismetastock@xxxxxxxxxxxxxxx, "Roy Larsen" <rlarsen@xxxx> wrote:
> Hi Scott
> 
> > Thanks Roy for taking the time to respond.
> >
> > Let me add some context to what I am trying to do.  In terms of
> > timing, I use the End of Day product and would be looking at data in
> > the evenings.
> >
> > So let say I have a signal based on today's close and I want to buy
> > sometime tomorrow if the price breaks out above today's high.  The
> > limit order is evaluated during the next day.  This is how I see it
> > which is not necesarily correct.
> >
> > Is it true that a limit is evaluated during the next day?
> 
> The trade is evaluated, at least for number of shares, on the day of
the signal. If you delay 
> execution by one day then the ability to pay for that number of
shares is evaluated on the day of 
> (intended) entry. If the price is higher than when the number of
shares was calculated, as it must 
> be to meet your limit price, and you're committing 100% of equity to
the trade, then the trade will 
> NOT execute. The reason is simply that there will be insufficient
funds to puchase the number of 
> shares calculated on the previous day. That's why it can be critical
that the evaluation and 
> execution should occur on the same day.
> 
> Of course there are all sorts of permutations with multiple
positions, "Realistic" prices, and so 
> on, but the closer you stick to evaluation and entry on the same
bar, the less problems you'll have.
> 
> Here's how I would code you limit entry (I still get confused
between limit, stop, and stop limit, 
> so you may need to amend the price code).
> 
> Buy formula
> 
> Ref(C,-1)>Ref(C,-2) AND H>Ref(C,-1)+0.25;
> 
> Price formula
> 
> (Ref(C,-1)>Ref(C,-2) AND H>Ref(C,-1)+0.25)*(Ref(C,-1)+0.25);
> 
> Check these out on a chart and see if that tally with the day you
would want the trades to execute
> 
> Regards
> 
> Roy





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