Ended up using SetOption("HoldMinDays", HoldMinCalDays) which works as long a
signal is in state form. Would like to figure out how to use DaysSince1900()
as feel more in control.
--- In [email protected], "bistrader" <bistra...@...> wrote:
>
> Yes, I have a function to convert 30 calendar days to the number of market
> days. This works fine, but can not figure out how to use the now available
> marketdays to keep on buy when get another buy while still holding.
>
> Here is the function.
>
> function CalendarIndex( Days )
> {
> td = DaysSince1900();
> result = Null;
>
> if( -Days < 0 )
> {
> for( i = BarCount -1; i >= -(-Days); i = i - 1 )
> {
> backday = td[ i ] + (-Days); // Days is negative
> for( j = -(-Days)/2; j < i; j++ )
> {
> if( td[ i - j ] <= backday )
> {
> result[ i ] = i - j - 0.5;
> break;
> }
> }
> }
> }
> return result;
> }
>
> Then I use the following but does not work correctly. Holds too long if
> another impulse buy comes along while still on a forced hold buy.
>
> // Apply HoldMinMktDays for Buy side only
> Sig_Buy = ExRem(Sig_Buy, Sig_Sell);
> Sig_Sell = ExRem(Sig_Sell, Sig_Buy);
>
> // Starts at 0 for each Buy which is a problem if another Buy impulse prior
> // to correct HoldMin Period
> Bars = BarsSince(Sig_Buy);
>
> Buy = Flip(Sig_Buy, Sig_Sell);
> Sell = NOT Sig_Buy;
>
> // Since Bars at 0 for each Buy, we hold for too long if another Buy impulse
> // comes along as Bars starts over again at 0.
> Buy = IIf(Bars <= HoldMinMktDays, True, Buy);
> Sell = IIf(Bars <= HoldMinMktDays, False, Sell);
>
> Will keep at it.
>
> --- In [email protected], "Mike" <sfclimbers@> wrote:
> >
> > Have a look at DaysSince1900.
> >
> > Mike
> >
> > --- In [email protected], "bistrader" <bistrader@> wrote:
> > >
> > > I tried the ref approach but it uses market days and I need 30 calendar
> > > days.
> > >
> > > As for subsequent buy signal, the clock would not start again as the
> > > security is still on a buy. I should have been clearer.
> > >
> > > Thanks. I'll continue to try to get calendar days out of this.
> > >
> > > --- In [email protected], "Mike" <sfclimbers@> wrote:
> > > >
> > > > Hi,
> > > >
> > > > You are not clear enough in your description.
> > > >
> > > > Using your example; A subsequent Buy came up before the 30 days were
> > > > over. So, do you start counting to 30 again from that Buy before
> > > > selling?
> > > >
> > > > If no Sell signal came over the course of 30 days since a Buy, would
> > > > you still Sell?
> > > >
> > > > You will probably need to use ExRemSpan.
> > > >
> > > > For the case of hold exactly 30 bars then sell, regardless of redundant
> > > > Buys and regardless of whether or not a Sell occurred, you would do the
> > > > following:
> > > >
> > > > Buy = ...;
> > > > Sell = Ref(ExRemSpan(Buy, 30), -30);
> > > >
> > > > Mike
> > > >
> > > > --- In [email protected], "bistrader" <bistrader@> wrote:
> > > > >
> > > > > Hello,
> > > > >
> > > > > I have a regular backtest with Buy and Sell statements. Is there a
> > > > > way to force the buy ONLY to stay on a buy for 30 days?
> > > > >
> > > > > Example:
> > > > > Buy = true 20 calendar days ago;
> > > > > Sell = true 8 calendar days ago;
> > > > > Buy - true yesterday;
> > > > >
> > > > > Want to force Buy to stay on buy for total of 30 days and then want
> > > > > to sell but only if another Buy signal did not come along. In this
> > > > > case, system would go on buy 20 days ago and stay on buy today since
> > > > > had another buy signal before 31 days was up, even though sell was
> > > > > true 8 days ago.
> > > > >
> > > >
> > >
> >
>
