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Here's a simple intraday AFL: Buy at open, sell at close:
Buy = Cross(TimeNum(), 093000);
Sell = Cross(160000, TimeNum());
Plot (Buy, "Buy", 3, 1);
Plot (Sell, "Sell", 5, 1);
Short=Sell; Cover = Buy;
But my backtester (4.70rc1) interprets this as:
Buy at open day 1
Sell at close day1
SELL SHORT AT CLOSE DAY 1 (!)
COVER SHORT AT OPEN DAY 2 (!);
(report below)
In other words, two sells instead of 1 at the end of the day.
What am I doing wrong?
Report:
Trade list Ticker Trade Entry Exit % change Profit Shares Pos. value
Cum. profit # bars Profit/bar MAE/MFE Scale In/Out
ER2 Long 3/7/2005 9:52:00 AM
645.2 3/7/2005 4:00:00 PM
644 -0.19% -18.60
-0.19% 15.4991 10000.00 -18.60 369 -0.05 -0.33%
0.50% 0/0
ER2 Short 3/7/2005 4:00:00 PM
644 3/8/2005 9:50:00 AM
643.3 -0.11% 10.85
0.11% 15.4991 9981.40 -7.75 23 0.47 -0.23%
0.12%
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