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hi David,
Sometimes one has to play around a little and it is hard
to understand what is exactly taking place in the background. In this case I
think that when you set:
"SetOption("AllowSameBarExit",False)"
it prohibits both a buy and a sell taking place in the
same bar.
However when setting it to "true" is allows this
and even though it is not the same trade taking place in that bar (since
you exit at the open and enter at the close) the backtest seems to get it
right.
I agree it is confusing and maybe the helpdesk can
come up with a better explanation. Fact is that the setting
"SetOption("AllowSameBarExit",True)" works,
rgds, Ed
----- Original Message -----
Sent: Thursday, May 26, 2005 11:42
PM
Subject: [amibroker] Re: Buy on Close,
Sell on Open
Ed, thank you!
Would you mind tutoring me on
why
"SetOption("AllowSameBarExit",True)" works,
but
"SetOption("AllowSameBarExit",False)" gave me the weird every other
day results?
Because the intent is to exit on the following
day, can't see how
AllowSameBarExit setting is
relevant.
David
--- In amibroker@xxxxxxxxxxxxxxx, "ed nl"
<ed2000nl@x...> wrote:
>
hi,
>
> when developing systems I usually make a chart of the
output. Below
is shown how to do it,
>
> rgds, Ed
>
>
>
>
SetOption("InitialEquity",100000);
>
SetOption("MaxOpenPositions",1);
>
SetOption("MarginRequirement",100);
> SetOption("UsePrevBarEquityForPosSizing",False);
>
SetOption("AllowPositionShrinking" , True);
>
SetOption("AllowSameBarExit",True);
>
SetOption("ActivateStopsImmediately" ,False);
>
SetTradeDelays(0,0,0,0);
>
> SetPositionSize(100,spsPercentOfEquity);
>
RoundLotSize = 10;
>
> Buy = True;
> Sell = 0;
>
ApplyStop(3,2,0);
>
> BuyPrice = C;
> SellPrice = O;
>
> Equity(1);
>
> GraphXSpace = 5;
>
Plot(C,"C",1,64);
> Title=Name()+ ", O: "+WriteVal(O)+ ", H:
"+WriteVal(H)+ ", L:
"+WriteVal(L)+ ", C: "+WriteVal(C);
>
>
PlotShapes(IIf(Buy,shapeUpArrow,0),colorWhite, layer = 0, yposition
=
BuyPrice, offset = 0 );
>
PlotShapes(IIf(Sell,shapeDownArrow,0),colorYellow, layer = 0,
yposition =
SellPrice, offset = 0 );
>
>
>
> -----
Original Message -----
> From: dweilmuenster95125
> To: amibroker@xxxxxxxxxxxxxxx
> Sent:
Thursday, May 26, 2005 9:56 PM
> Subject: [amibroker] Buy on
Close, Sell on Open
>
>
> Hi,
>
> I'm trying to write a Backtest for a single symbol that
Buys on the
> Close of each Day, and Sells on the next
Open. (Sounds weird, but
> there's a good reason for
the research.)
>
> Attached below is my code.
>
> It almost works, but Buys only every other day, not every
day, and
> does exit on the next day's Open.
>
> Any suggestions?
>
>
Thanks,
> David
>
------------------------------------------------------
>
>
>
SetOption("InitialEquity",100000);
>
SetOption("MaxOpenPositions",1);
>
SetOption("MarginRequirement",100);
>
SetOption("UsePrevBarEquityForPosSizing",False);
>
SetOption("AllowPositionShrinking" , True);
>
SetOption("AllowSameBarExit",False);
>
SetOption("ActivateStopsImmediately" ,False);
>
SetTradeDelays(0,0,0,0);
> BuyPrice = Close;
> SellPrice =
Open;
>
SetPositionSize(100,spsPercentOfEquity);
> RoundLotSize =
10;
>
> Buy = True;
> Sell =
False;
> ApplyStop(3,2,0);
>
>
>
>
>
>
> Please note that this group is
for discussion between users only.
>
> To get support
from AmiBroker please send an e-mail directly to
> SUPPORT
{at} amibroker.com
>
> For other support material
please check also:
> http://www.amibroker.com/support.html
>
>
>
>
>
>
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