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Hi,
I've been working on a system to trade the bond market and ran across the
following problem backtesting the system on TS 4.0, build 21:
On March 2, 1998, my system gave me a series of multiple buys and sells bar
after bar for several bars...The problem is this: some bars have an entry
and exit signal at the same time. I'd like to know what is going on? Can
someone enlighten me? In the real world, there's no way this is suppose to
happen, yet TS4.0 is telling me this is possible.
03/02/98 9:20am Buy 1 120^05
03/02/98 11:20am LExit 1 119^26 $ -436.25 $ 3540.00
03/02/98 11:20am Sell 1 119^26
03/02/98 12:20pm SExit 1 119^23 $ 1.25 $ 3541.25
03/02/98 12:20pm Buy 1 119^23
03/02/98 12:20pm LExit 1 119^23 $ -92.50 $ 3448.75
03/02/98 12:20pm Sell 1 119^23
03/02/98 1:20pm SExit 1 119^19 $ 32.50 $ 3481.25
03/02/98 1:20pm Buy 1 119^19
03/02/98 1:20pm LExit 1 119^19 $ -92.50 $ 3388.75
03/02/98 1:20pm Sell 1 119^19
03/02/98 2:20pm SExit 1 119^19 $ -92.50 $ 3296.25
03/02/98 2:20pm Buy 1 119^19
03/02/98 2:20pm LExit 1 119^19 $ -92.50 $ 3203.75
03/02/98 2:20pm Sell 1 119^19
03/02/98 3:00pm SExit 1 119^10 $ 188.75 $ 3392.50
03/02/98 3:00pm Buy 1 119^10
03/02/98 3:00pm LExit 1 119^10 $ -92.50 $ 3300.00
03/02/98 3:00pm Sell 1 119^10
03/03/98 9:20am SExit 1 119^05 $ 63.75 $ 3363.75
03/03/98 9:20am Buy 1 119^05
03/03/98 9:20am LExit 1 119^05 $ -92.50 $ 3271.25
03/03/98 9:20am Sell 1 119^05
03/04/98 10:20am SExit 1 119^02 $ 1.25 $ 3272.50
03/04/98 11:20am Sell 1 119^05
03/06/98 11:20am SExit 1 119^07 $ -155.00 $ 3117.50
03/06/98 11:20am Buy 1 119^07
03/13/98 10:20am LExit 1 120^29 $ 1595.00 $ 4712.50
03/17/98 3:00pm Sell 1 121^01
03/20/98 12:20pm SExit 1 121^01 $ -92.50 $ 4620.00
03/23/98 11:20am Sell 1 121^01
03/27/98 10:20am SExit 1 120^05 $ 782.50 $ 5402.50
I'm using $30 commission, $62.50 in slippage, so that would account for
$92.50 at the same entry and exit result.
_____________________________________________
"The mark of a successful commander is the ability to adapt
rapidly to the constantly changing conditions on the field of
battle."
-Carlo D'Este on Field Marshall Walter Model
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