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Ok I'm glad you brought those stinking bouncing ticks up again. Now
you must give us your explanation once again defending this stupid
Omega guess work.
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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