[amibroker] Re: Min Holding Period Conundrum

["tipequity" <l3456@xxxxxxxxxx>]

To understand the behavior of the code previously, I added a _trace 
statement as follows. However it does not like the OP.symbol. Any 
support would be much appreciated.

SetBacktestMode( backtestRegularRaw ); 
SetCustomBacktestProc(""); 

MinHoldingPer = 2;

if( Status("action") == actionPortfolio )
{ 
  bo = GetBacktesterObject(); 
  bo.PreProcess(); 
  for( i = 0; i < BarCount; i++ ) 
  { 
   for( OP = bo.GetFirstOpenPos(); OP; OP = bo.GetNextOpenPos() )
   { 
   if ( OP.BarsInTrade >= MinHoldingPer)
	Sellnow = 1; 
	_TRACE(OP.Signal+" OP.BarsInTrade ="+NumToStr
(OP.BarsInTrade,1.0));
   } 
   bo.ProcessTradeSignals( i ); 
  } 
  bo.PostProcess(); 
}

Sell  =  ExitLong OR SellNow == 1;



--- In amibroker@xxxxxxxxxxxxxxx, "tipequity" <l3456@xxx> wrote:
>
> To solve this problem I decided to use CBI, however I am not 
getting 
> the results that I was expecting. Any help would be appreciated.
> 
> SetBacktestMode( backtestRegularRaw ); 
> SetCustomBacktestProc(""); 
> 
> MinHoldingPer = 2;
> 
> if( Status("action") == actionPortfolio )
> { 
>   bo = GetBacktesterObject(); 
>   bo.PreProcess(); 
>   for( i = 0; i < BarCount; i++ ) 
>   { 
>    for( OP = bo.GetFirstOpenPos(); OP; OP = bo.GetNextOpenPos() )
>    { 
>    if ( OP.BarsInTrade >= MinHoldingPer)
> 	Sellnow = 1;
>    } 
>    bo.ProcessTradeSignals( i ); 
>   } 
>   bo.PostProcess(); 
> }
> 
> Sell  =  ExitLong OR SellNow == 1;
> 
> 
> 
> --- In amibroker@xxxxxxxxxxxxxxx, "tipequity" <l3456@> wrote:
> >
> > How can I limit the minimum holding period from the time a 
position 
> is 
> > opened not from time the buy signal was issued? The situation 
that 
> I 
> > facing is that I get two buy signals, I buy after the first buy 
> signal 
> > and I want to hold for at least two bars (including the entry 
bar).
> > If I use Buy = ExRem(Buy, Sell);
> > then if I use Sell  =  (ExitLong AND BarsSince(Buy)>=2);
> > works fine. However then when I backtest and I have two 
consecutive 
> buy 
> > signals and on the first buy siganl I don't have enough cash to 
buy 
> but 
> > on the second buy siganl I have enough cash, it would not buy 
> because 
> > the second signal is removed.
> > Any suggestions are appreciated.
> > 
> > TIA
> >
>




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