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ralphharper1  
#1 Posted : 12 years ago
ralphharper1

Rank: Newbie

Groups: Registered, Registered Users
Joined: 11/18/2012(UTC)
Posts: 5

I wanted to see what happened when one would buy when the close of the day was 15% higher than the low of two days ago and then sell the next day. My buy signal was C >= ref(L,-2)*1.15. The sell signal was C. I ran this on the stock Agilent Technologies, symbol A to see if it was performing correctly. Whenever it initiated a buy signal it was performing correctly but it made mistakes by not giving buy signals when it should have. My data base for the stock was the year 2000. I used realistic market prices for the System Testing Options. So it was buying on the open the day after a signal was given. It then sold on the open the following day. The formula did not buy on 3-7 and 3-8 of the year 2000 when it clearly should have by looking at the chart and doing the formula by hand. I'm perplexed. What have I done wrong. Need some help.

henry1224  
#2 Posted : 12 years ago
henry1224

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Location: Glastonbury, CT

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Ralph, your entry is ok but your sell is not going work,

You should create a latch for your system

Long:= your long entry;
Short:= your short entry;
Long-short;

Code:
Long:=C >= Ref(L,-2)*1.15;
Short:=BarsSince(long)=1;
If(long,1,If(Short,-1,0));



wabbit  
#3 Posted : 12 years ago
wabbit

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The exit (C) will work, just as TRUE, 1, or any other non-zero number would work to trigger the EST to sell the bar.

Have a look in the trade logs from the EST to see why the trades were not entered on the dates you mention, I think you'll find they were cancelled due to incorrect position size which was considered on the bar prior to entry but on the actual entry bar the higher price means the trade cannot be executed. Roy (MSTT) has written heaps about this exact phenomena in his newsletter and throughout this forum.



wabbit [:D]

ralphharper1  
#4 Posted : 12 years ago
ralphharper1

Rank: Newbie

Groups: Registered, Registered Users
Joined: 11/18/2012(UTC)
Posts: 5

thanks wabbit you helped me again. I didn't understand the abbreviation EST but when you mentioned position size I realized that I was using a starting bankroll of 10,000 dollars and was trading 100 shares at a time. If a stock got over 100 dollars then I would be trading with more money than was in my account. I increased the starting account to 100,000 dollars and the problem trades went thru.

ralphharper1

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