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It looks to me like a problem with your system. Do you want to post your
system for feedback from the group?
Neil Harrington
-----Original Message-----
From: Andy <adle@xxxxxxxxxx>
To: omega-list@xxxxxxxxxx <omega-list@xxxxxxxxxx>
Date: Monday, March 30, 1998 6:26 PM
Subject: A possible problem with TS4.0?
>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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