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hello,
i am currently backtesting an
intraday pair trading system and i have run into this little
problem:
when my system triggers a signal
(BUY stockA and SHORT stockB) sometimes one of the two stocks does not have a
quote on the bar it is supposed to enter (stock without heavy volume, 1-min
bars) so only one of the two actually enters the trade (which is of course a big
no-no).
how do i tell my system to respect
the set trade delay, but if there is no quote enter on the next quote after the
trigger has been pulled?
dirk
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- [amibroker] backtester: forcing trade entry at next "p... dirk schreiber
