Does anyone have some AB Code to do the following:
Background:
In my data I have some data "issues" - for example a split in a stock
that was not back adjusted. This may cause a situation where my system
issues a Buy (or Short) and there is a profit in the hundreds of
thousands, which is quite illusory (i.e. it wouldn't happen in real
life).
Is there an easy way to reverse a signal (i.e. change Buy/Short
arrays) if the NetProfit on that particular trade is over a certain
threshold? (Obviously, this would only be good in
backtesting/optimization mode: status("action" ==5) )
