Mike, I came across your code recently and appreciate the effort to try
to solve the "limit order" problem that Tomasz et al. do not seem to
understand.
I've implemented your code and have begun to test with my model and I'm
struggling to reconcile the results from explorations to the backtest
I previously posted this without reply. Any assistance would be
greatly appreciated. Thanks, mertema
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Scenario: trading system holds a maximum of 4 stocks at a time.
Currently the system has three positions and is looking to fill the
fourth. For the next trading day there
Scenario: trading system holds a maximum of 4 stocks at a time.
Currently the system has three positions and is looking to fill the
fourth. For the next trading day there are three stocks that fulfill
the end of day criteria and let's say the system requires a break of
the 5 day moving averag