I want to back-testing a simple trading system, the formula is as follows:
Cond = Cross( MA (Close, 20), MA(Close, 50) ); Cond1 = Cross( MA (Close, 50), MA(Close, 20) ); MA20 = MA( Close, 20 ); MA50 = MA( Close, 50 ); Crosses = Cross( MA20, MA50 ) OR Cross( MA50, MA20 ) ; Buy = Cond; Sell = Cond1; I'm going to add buy(or short) and sell(or cover), as well as stop- loss conditions. Such as: when to buy or short a stock, if it has a profit of 3%, should sell(or cover) to close this position. If the loss occurred, when the loss is 2% to sell(or cover) to stop loss. In addition, total capital is $100,000, per transaction for a 10% of the capital, while a maximum of 10 positions, not considering commissions. I don't know how to write this formula, any help would be appreciated! Frank
