Hi,
I want to isolate specific price conditions and then use the optimizer to
generate the results in order to automate data mining somewhat.
E.g.:
Newday = DateNum() != Ref(DateNum(),-1);
S1 = Ref(O,-1) > Ref(C,-1);
S2 = Ref(C,-1) > Ref(C,-2);
S3 = Ref(O,-1) > Ref(O,-2);
S4 = Ref(H,-1) > Ref(H,-2);
Setuptype = IIf(S1,1,IIf(S2,2,IIf(S3,3,IIf(S4,4,0))));
SetupIdentifier = Optimize("Setup",1,1,4,1);
Buy = Newday AND Setuptype == SetupIdentifier;
Sell = Close;
This works fine as long as S1, S2, S3 or S4 never occur at the same time (which
in the above case they do). When they occur at the same time the Iif statement
exits on the first occurrence resulting in a lot of occurrences of S2, S3, etc.
not being included in the backtest.
Can anyone suggest another way to do this?
Many thanks.
Angus
