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Still an old debate.
Indicators are updated during a bar that is not yet closed
Systems are updated at the close of the bar ( otherwise the backtesting results
would not be reproductible) ie when values ar known for sure ( OHLC, fixed
values, with the exception of next open.
I_MarketPosition available only from an indicator will update first, and avlue
may change during the bar if several orders are executed during this bar until
completion.
MarketPosition is available from a system will be known at the end of the bar
only, and will always have a known for sure value.
These security issues are mandatory to build rock solid backtesting statistics,
and have been a part of TS success over time.
(And please do not speak about bouncing ticks as a counter example ,thanks...)
Sincerely,
Pierre Orphelin
www.sirtrade.com
Tradestation 2000i, TradeStation 6 sales and support
Safir-X, neurofuzzy logic trading system builder
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Next issue: November 2002
> -----Message d'origine-----
> De : Gary Fritz [mailto:fritz@xxxxxxxx]
> Envoye : dimanche 20 octobre 2002 03:29
> A : fxtrader
> Cc : omega-list@xxxxxxxxxx
> Objet : Re: Signals vrs Indicators
>
>
> > Anyone know what to use in an indicator in place of BarsSinceEntry?
>
> This is really fairly messy. There no I_BarsSinceEntry to use in
> indicators. You can build your own with I_MarketPosition, but
> guess what? I_MarketPosition and MarketPosition don't always
> change at the same time !!
>
> The specific details of when MarketPosition changes in a system
> are a bit obtuse, depending on whether you enter by a stop or at
> the open or close. It's been quite a while since I took a very
> brief look at this, but if I remember right I_MarketPosition
> changes on the bar when the system enters or exits.
>
> This should work, but there may be certain conditions I didn't
> think to test. It's at start at least.
>
> var: I_BarsSinceEntry(0);
> I_BarsSinceEntry = I_BarsSinceEntry + 1;
> if MP = 0 then I_BarsSinceEntry = 0;
>
> Gary
>
>
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