The portfolio backtest code sample below does something special with
entry signals but does not touch the exit signals. Note the sig.IsEntry
test in the for loop. This loop implementation attempts improve the
execution speed by assuming all entry signals are at the front of the
signal list and all exit signals are after the entry signals. The loop
stops as soon as the first exit signal is found so no time is wasted
looping over the remaining exit signals. Is this a valid assumption?
Thanks,
Steve
for (bar = 0; bar < BarCount; bar++)
{
for (sig = bo.GetFirstSignal(bar); sig && sig.IsEntry; sig =
bo.GetNextSignal(bar))
{
Do something with entry signal ...
}
bo.ProcessTradeSignals(bar);
}
