Hi there, I've faced an identical problem. Does anyone have an idea how to overcome this?
Thanks, Marius --- In [email protected], "markhoff" <markh...@...> wrote: > > > Hi, > > as a workaround it seems that I can cheat AB by setting: > SetTradeDelays(1,1,1,1); > This will move the closing trades to the next bar, but it will result > in a wrong reporting from the backtester, because now the "Exit Date" > for the trade is for instance no longer "day 3" in my example but "day > 4". I still hope anybody has a better idea how to solve this issue ... > > Best regards, > Markus > > --- In [email protected], "markhoff" <markhoff@> wrote: > > > > Hi folks, > > > > I have a problem with the backtester. I have a trading system which > > opens all positions on OPEN price and closes all positions CLOSE > > price. Maximum number of positions is set to 1. Now, if I might have > > the situation below: > > > > Day 1 2 3 4 5 > > Trade #1 (A) b...@open------------>s...@close > > Trade #2 (B) b...@open------------>s...@close > > > > Trade #1 with symbol (A) has a SELL signal on day 3 and some other > > symbol (B) has a BUY signal on the same day, and this causes AmiBroker > > to make trade #2 also on day 3. > > But, in fact this is not possible because there is no > > cash available on day 3 to b...@open (because first I must SELL trade > > #1). Therefore, the correct behaviour would be to start trade #2 on > > day 4 after the other position for trade #1 was closed. It seems that > > AB always asumes that the cash for closing positions is available at > > the same bar to start new trades. Please see also the code below. > > > > How can I force AB to consider that cash from a s...@close is not > > available on the same bar? > > > > Thanks in advance and best regards, > > Markus > > > > //--- cut here --- > > Buy = Sell = Short = Cover = False; > > BuyPrice = SellPrice = ShortPrice = CoverPrice = 0; > > SetOption("MaxOpenPositions", 1); > > SetPositionSize(100, spsPercentOfEquity); > > SetTradeDelays(1,0,1,0); > > TradeDays = 3; > > BuyPrice = ShortPrice = Open; > > SellPrice = CoverPrice = Close; > > Buy = ExRemSpan(True, TradeDays); > > Sell = Ref(Buy, -TradeDays); > > //--- cut here --- > > >
