----- Original Message -----
Sent: Friday, April 06, 2007 7:02
PM
Subject: Re: [amibroker] programming
?
Sid,
Any way of measuring the environment when
the transitions happen? If you can create a reasonable measurement, you can
easily inhibit trades for the duration.
----- Original Message -----
Sent: Friday, April 06, 2007 3:12
PM
Subject: [amibroker] programming
?
I have a system where there tends to be whipsaws at
transition points between Long and Short. If there has been an uptrend
and the system is long when a change occurs where it should go short there
are a few bars of confusion where the system goes short/long/short/long and
the finally short again for the move down. A similar thing is
happening when the system need to transition from short back to
long.
The first thing I thought of is to suppress new trades for a
few bars after the first trade of these little groups of whipsaws.
Some sort of BarsSince last trade as a filter. That may work, but I am
not sure how to code that as there seems to be 4 cases of possible
transitions, also multiple buys/sells tend to confuse the picture. How
would I code that?
Is there a better way to accomplish the
task?
Any help is appreciated
Sid
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