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Barry,
I just glanced at this but if you have a buy followed by another buy
the second buy is ignored because you already are in the position;
same goes for a sell...
Take a look at the "exrem" function which will take out the extar
signals...
Walt
--- In amibroker@xxxxxxxxxxxxxxx, "Barry Scarborough"
<razzbarry@xxxx> wrote:
>
> I have a program, for loop, that can have two outstanding trades. I
> will take one trade when the market moves up or down 4% and another
> trade when the market moves in the same direction another 5%. Then
I
> close both traces when the market rolls over 4% and at the same
time
> take one position in this new trend.
>
> My problem is that when I run back test the trades at the 5% point
> are not recorded, or the trades sheet does not show them. How can I
> set the back test settings to show all trades? Currently the
> settings are set as follows:
>
> Initial Equity: 5000 Periodicity/Positions: Weekly/Long Short
> Commissions: 7.00 per trade Annual interest rate: 0.00%
> Range: 1/1/1994 00:00:00 - 10/31/1998 Apply to: Current Symbol
> Margin requirement: 99.999 Futures mode: No
> Def. round lot size: 1 Def. Tick Size 0
> Drawdowns based on: Open prices
> Long trades
> Buy price: Close Sell price: Close
> Buy delay: 0 Sell delay: 0
> Short trades
> Short price: Close Cover price: Close
> Short delay: 0 Cover delay: 0
> Stops
> Maximum loss: disabled Profit target: disabled
> Value: 2.00 Value: 10.00
> Exit at stop? yes Exit at stop? yes
>
> Trailing stop: disabled
> Value: 10.00
> Exit at stop? yes
>
> This is the trade list:
> Trade list Ticker Trade Entry Exit % change Profit Shares Pos.
value
> Cum. profit # bars Profit/bar MAE/MFE
> ^RUT Short (121) 3/31/1994
> 251.06 8/19/1994
> 249.69 -0.55% 12.03
> 0.25% 19 4770.14 12.03 21 0.57 -6.14%
> 5.11%
>
> ^RUT Long (121) 8/19/1994
> 249.69 11/11/1994
> 249.38 -0.12% -20.20
> -0.40% 20 4993.80 -8.17 13 -1.55 -1.08%
> 4.25%
>
> ^RUT Short (116) 11/11/1994
> 249.38 12/23/1994
> 244.73 -1.86% 74.35
> 1.57% 19 4738.22 66.18 7 10.62 -1.65%
> 6.21%
>
> ^RUT Long (45) 12/23/1994
> 244.73 10/6/1995
> 301.82 23.33% 1127.80
> 23.04% 20 4894.60 1193.98 42 26.85 -1.96%
> 29.52%
>
> ^RUT Short (53) 10/6/1995
> 301.82 12/1/1995
> 309.74 2.62% -172.40
> -2.86% 20 6036.40 1021.58 9 -19.16 -2.84%
> 3.50%
>
> But the program has trades as follows: ( this is actually the excel
> output of a C++ program I am trying to dupliate in AB. But the AB
> program also shows the folowing trades on the explore sheet.)
> Date Position Ticker Gain
> 19940331 Sell 250.98 0.549845
> 19940819 Buy 249.6 -0.180288
> 19941111 Sell 249.15 0
> 19941209 Sell 235.09 -2.18598
> 19941223 Buy 244.56 0
> 19950303 Buy 256.83 41.33
> 19951006 Sell 302.32 -2.54035
>
> As you can see there are 2 sells in a row followed by 2 buys in a
> row. But the Trades sheet does not show the second trade of the
same
> type, i.e. it does not show the trade for 12/9/94 or 3/3/95. What
do
> I need to do to have these trades added to the output?
>
> I was not sure about the margin setting. The progran takes 100% of
> the portfolio on the first trade and then 100% margin on the second
> trade. So I set the margin to 99.999%.
>
> Since I am trading right after the close I used 0 delay.
>
> What am I doing wrong? Why won't the back test show all trades?
>
> Thanks,
> Barry
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