Bistrader provided some code the other day that has been helpful to understand
CBT and Trace. Its been modified to look at closed trades as well as open
positions. The below CBT AFL, places ExitPrice in the closed Trade list even
though the trade is "Long Open". For Example, running QQQQ, from 6/1/2009 to
9/17/2009, gives this result in AA
QQQQ Long 7/15/2009 36.92 8/10/20009 39.6
QQQQ OpenLong 9/9/2009 41.09 9/17/2009 42.41
The entire Trace log is attached. The part of interest is 9/10/2009 and below.
At this point, LongOpen occurs with EntryPrice 41.09 ( from Open Position List)
and ExitPrice 39.60( from Close Trade List). These two prices then begin
alternating on subsequent days. I suspect from comments made earlier from Bruce
Robinson, that LongOpen forces a "close daily" which can be problematic. But in
addition, it holds the previous ExitPrice, 39.60, from 8/10/2009, not current
ExitPrice.
I speculate that this ExitPrice is the one used by CBT in all metrics
associated with LongOpen positions. Is this true? Does it make sense?
This has been long winded. If its not clear please let me know.
Thanks
Dave
SetCustomBacktestProc("");
if ( Status( "action" ) == actionPortfolio ) //2nd phase of portfolio backtest
{
bo = GetBacktesterObject();
bo.PreProcess();
barDates = DateTime();
for ( bar = 0; bar < BarCount; bar++ )
{
bardate = bardates[bar];
for ( trade = bo.GetFirstOpenPos(); trade; trade = bo.GetNextOpenPos() )
//TRade obj from Open Position List
{
_TRACE(NumToStr( barDate, formatDateTime ) +" EntryPrice " + NumToStr(
trade.EntryPrice, 8.2 )+" " );
}
for(trade = bo.GetFirstTrade(); trade ; trade = bo.GetNextTrade() ) //Trade Obj
from Closed Trade List
{
_TRACE( NumToStr(barDate,formatDateTime ) +" ExitPrice "+ NumToStr(
trade.ExitPrice, 8.2) );
}
bo.ProcessTradeSignals( bar );
}
bo.PostProcess();
}
Short = Cover = 0;
Buy = Cross( MACD(), Signal() );
Sell = Cross( Signal(), MACD() );
