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Your trades rules state:
GENERAL
Order Bias: Long Orders
Portfolio Bias: Single
Position Limit: Limit number of simultaneous positions to 2
Try changing the position limit to a 1
Hope it helps!
Preston
--- In Metastockusers@xxxxxxxxxxxxxxx, "jnick1_97" <jnick99@xxxx>
wrote:
> Yes, I was hoping someone would suggest that. Guess what? That's
> exactly how I wrote the formula at first! No delay on the buy order
> and everything. Exactly how Joe suggested.
>
> Here's the REAL problem. If you set it up like Joe suggested, for
some
> odd reason, the Enhanced System Tester does not allow back to back
buy
> and sell orders for two consecutive days.
>
> Remember, you can actually have two orders on the same day. An order
> to sell an existing position on the open, (because yesterday's close
> was below the typical price) and a buy order to establish a new
> position, (because yesterday's close was below the typical price) if
> the stock can trade up today through the Typical price +.05.
>
> BUT... The following day you can have the exact same situation,
> because again, the stock closed below the Typical Price. When this
> occurs, (for some odd reason that I can't understand), MetaStock's
> System Tester issues a new buy order but fails to submit an order to
> sell the existing position on the open. Hence, if the buy order
> triggers, which does happen quite often, you are now long two
hundred
> shares! Remember, I'm only trading one hundred shares at a time in
> this test. There should never be a time when more than 100 shares
are
> held long.
>
> Try it yourself both ways. If you set it up like I described, you
can
> either look in the Orders section after the test completes or plot
the
> trades on the chart. There's never more than 100 shares held at a
time
> and you can see back to back (two consecutive bars) where both a buy
> and sell order are submitted and executed.
>
> Set it up like Joe suggested (like I had it originally) and there is
> never a time when two consecutive bars have both a buy and sell
order
> executed, which results in holding multiple 100 share lots.
>
> Is this a glitch in the Enhanced System Tester?
> Is there a different way to write the formula to prevent this?
> Anyone have any idea why this is even happening?
>
> It has me scratching my head because I can't understand why two
> consecutive bars can have both buy and sell orders one way the
formula
> is written, but not the other way.
>
> It should work perfectly the way Joe suggested. But it doesn't!
>
>
>
> --- In Metastockusers@xxxxxxxxxxxxxxx, "Joe J." <jojab@xxxx> wrote:
> > Yes, in looking at it rather quickly, what you need to do is
> something like this on your buys:
> >
> > ref(c,-1) < ref(typical(),-1)
> > AND
> > open <= ref(typical(),-1)+.05
> >
> > Change your entry delay to zero because you are buying on the
> current bar (but basing the decision on the prior bar).
> >
> > Good Trading,
> >
> > Joe J.
> >
> >
> > -----Original Message-----
> > From: jnick99@xxxx [mailto:jnick99@x...]
> > Sent: Wed 12/17/2003 8:04 PM
> > To: Metastockusers@xxxxxxxxxxxxxxx
> > Cc:
> > Subject: [Metastockusers] Simple System, BUT... How Do I
Avoid Gaps
> When Testing?
> >
> > I'm rather new to system testing, so I created a simple (Long
Only)
> > system test in MetaStock 8.0 (EOD) to examine how the Enhanced
> System
> > Tester recreates and tests systems.
> >
> > This system is very simple and is very similar to price crossing
up
> > through a moving average line. I'm using end of day data and it
only
> > goes long.
> >
> > The system buys if today's close is below the "Typical Price" and
> then
> > trades up through it on the next bar (day). (The "Typical Price"
in
> > MetaStock is simply the (H+L+C)/3).
> >
> > The "Typical Price" also called the "Pivot Point" was discussed in
> the
> > February, 2000 issue of "Technical Analysis of Stocks &
> Commodities".
> >
> > So, the idea with this system is: If today's close was indeed
below
> > the typical price, (which of course isn't known until after the
> close)
> > the system then places a stop-limit order to buy if the stock can
> > trade up through this level "The Typical Price" + .05 on the next
> bar
> > (day).
> >
> > If the stock never trades up to this level then of course the
order
> is
> > cancelled. New parameters (Typical Price) will then be calculated
> for
> > the next days orders.
> >
> > If the buy order is filled the system holds the long position as
> long
> > as the close of the day is above the Typical Price value. If the
> close
> > falls below the Typical Price, the system enters a sell order on
the
> > next bars open.
> >
> > So, the parameters for a buy order and a sell order are identical.
> > Which means it's entirely possible to have both a buy order and a
> sell
> > order in place at the open.
> >
> > The sell order sells an existing position on the open,(because
> > yesterdays close was below the "Typical Price").
> >
> > The buy order buys a new position, (because yesterdays close was
> below
> > the "Typical Price")if the stock can trade up during the day
through
> > the "Typical Price".
> >
> > SIMPLE. Right?
> >
> > Buy if the stock shows strength. Sell when it shows weakness. Buy
> > again when it shows strength
> >
> > Only problem I'm having is if the stock gaps up the next day on
the
> > open. Some days it gaps up and keeps going higher. This results in
> my
> > limit price never being attained and the order is cancelled. Which
> is
> > exactly what should happen. BUT... Some days the stock gaps up and
> > then trades lower the rest of the day which triggers my limit
> order. I
> > don't want the system to buy as the stock is falling. Which is
> exactly
> > what happens.
> >
> > Here's the system:
> >
> > GENERAL
> > Order Bias: Long Orders
> > Portfolio Bias: Single
> > Position Limit: Limit number of simultaneous positions to 2
> >
> > BUY ORDER
> > Formula: C < Typical()
> > Order Type: Stop Limit
> > Limit or Stop Price: Typical()+.05
> > Entry Size: Use Default Size (100 shares)
> > Expiration: Good for Day
> > Strategic Delay (Bars): Tick: 0 Minutes: 0 Day: 1
> >
> > SELL ORDER
> > Formula: C < Typical()
> > Order Type: Market
> > Limit or Stop Price: n/a
> > Entry Size: Use Default Size (100 shares)
> > Expiration: Good for Day
> > Strategic Delay (Bars): Tick: 0 Minutes: 0 Day: 1
> >
> > When you click on New Simulation and select the system, the first
> box
> > that appears is to add securities. So far I am just testing one
> stock,
> > symbol URBN. Daily price data, 500 periods.
> >
> > Click "Next" for System Testing Options.
> > Trading:
> > Points Only Test: NOT checked
> > Initial Equity: 10,000
> > Default Size: Number of Units 100
> >
> > Portfolio:
> > Long
> >
> > Results:
> > Not a "quick Test"
> >
> > Click "MORE" and select the Trade Execution tab
> > Trade Price:
> > Realistic Market Prices: NOT checked
> > Buy Price: Open
> > Sell Price: Open
> > Delay Order Opening: 0 bars
> >
> > That's all there is to it. Because I'm using a Stop-Limit order in
> the
> > Buy order formula it doesn't use the Open price but uses my limit
> > price instead. The Sell order uses the Open on the next bar.
> >
> > Only thing I can't make it do is not buy on a Gap up.
> >
> > Anyone have any suggestions ?
> >
> >
> >
> > To unsubscribe from this group, send an email to:
> > Metastockusers-unsubscribe@xxxxxxxxxxx
> >
> >
> >
> >
> >
> > _____
> >
> > Yahoo! Groups Links
> >
> >
> > * To visit your group on the web, go to:
> > http://groups.yahoo.com/group/Metastockusers/
> >
> > * To unsubscribe from this group, send an email to:
> > Metastockusers-unsubscribe@xxxxxxxxxxxxxxx
> <mailto:Metastockusers-unsubscribe@xxxxxxxxxxxxxxx
> ?subject=Unsubscribe>
> >
> > * Your use of Yahoo! Groups is subject to the Yahoo! Terms of
> Service <http://docs.yahoo.com/info/terms/> .
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