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> what's all the confusion.
> high[0] +- whatever or
> low[0] +- whatever stop orders are not
> allowed in TS for one simple fact.
Well, they ARE, but not the kind of order you're talking about.
buy high[0] - X stop (or buy high - X stop, which is equivalent) is
perfectly legal in TS, but it means "at the close of this bar, place
an order on the NEXT bar to buy at THIS bar's High - X."
I think you're talking about an intrabar order which says "if the
price WITHIN THIS BAR hits H[0] and then comes down X, instantly buy
at the market."
You can't do that in TS because you can't issue buy orders intrabar.
System code doesn't run until the close of the bar.
However, you can get basically the same results by going to a shorter
bar. So e.g. if you were trying to run that strategy on 60min bars,
you could instead run it on 1min bars. You would then have to track
the recent high and wait for it to come down X. You could test the
price against RecentHigh-X at the close of each 1min bar, or you
could set a limit order at RecentHigh-X. With the buy limit order,
the results should be very similar to the hypothetical case you're
talking about.
Gary
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