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Andy are you running tight stops with this system by any chance? Is it
possible that you are getting stopped out on the same bar by running stops
too tight by using the %trailing stop or a tight trailing stop? Can you
please let us know what you are doing with the built-in stops in TS and if
you back them off in the setup do you then avoid or reduce the entry and
exit on the same bar in many cases?
regards,
At 08:11 PM 3/30/98 -0500, you wrote:
>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
>
>
Michael Paauwe
mpaauwe@xxxxxxxxxx
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