In a backtest you would be better to use high and low in your buy/sell conditions instead of close. The close in historical bars is only one value at the last price of that bar.
-- Cheers Graham AB-Write >< Professional AFL Writing Service Yes, I write AFL code to your requirements http://e-wire.net.au/~eb_kavan/ab_write.htm On 25/06/06, James <[EMAIL PROTECTED]> wrote: > This code I have written is forward looking. I believe > the backtester is waiting until the end of a bar is > completed to determine if the close is above/below the > entry/stop. I would like for it to execute at the > market. I used BuyPrice, ShortPrice, SellPrice, and > CoverPrice to try and get the correct execution price, > but the problem is occurring when the high/low of a > bar exceeds a stop but then reverses and closes on the > other side. The backtester does not execute on this > bar, because the close does not meet the criteria. I'm > sure there is a simple way to correct this, but I > could not find it. Simplified code is: > > EntryBars = Param("Entry Bars", 15, 1, 30, 1); > ExitBars = Param("Exit Bars", 5, 1, 30, 1); > > BuyUpper = HHV(Ref(H,-1),EntryBars); > SellLower = LLV(Ref(L,-1),EntryBars); > > StopUpper = HHV(Ref(H,-1),ExitBars); > StopLower = LLV(Ref(L,-1),ExitBars); > > > Buy = Cross (Close, BuyUpper); > Short = Cross (SellLower, Close); > > Sell = Cross (StopLower, Close); > Cover = Cross (Close, StopUpper); > > BuyPrice = Max (BuyUpper, Low); > ShortPrice = Min (SellLower, High); > SellPrice = Min (StopLower, High); > CoverPrice = Max (StopUpper, Low); > > It is my understanding that in real time, Close would > act as Last, but that is not happening in the > backtest. Any ideas on how to fix this problem or > could someone kindly point me to a documented > solution? > TIA, > James > > > __________________________________________________ > Do You Yahoo!? > Tired of spam? Yahoo! Mail has the best spam protection around > http://mail.yahoo.com > > > > 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 > > > Yahoo! Groups Links > > > > > > > ------------------------ Yahoo! Groups Sponsor --------------------~--> Yahoo! Groups gets a make over. See the new email design. http://us.click.yahoo.com/XISQkA/lOaOAA/yQLSAA/GHeqlB/TM --------------------------------------------------------------------~-> 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 Yahoo! Groups Links <*> To visit your group on the web, go to: http://groups.yahoo.com/group/amibroker/ <*> To unsubscribe from this group, send an email to: [EMAIL PROTECTED] <*> Your use of Yahoo! Groups is subject to: http://docs.yahoo.com/info/terms/
