I am trying to test a long only system based on End of Day data. The system triggers a trade on a set of conditions but will only enter the trade the next day if the stock trades a set % below the current End of Day Close entering on a Stop valid for the next day only. If the stop entry is not hit then the trade is cancelled. The following day the trade may trigger again but then a new entry stop would be calulated. The exit occurs once the RSI moves over a set level on a market order to exit at market open.

So the methodolgy is the trade meets the set of criteria say closing at $100.00 then the system is to enter at say 5% below the close so a Stop order is entered at market open the following day to enter at $95.00 (if it gaps below that figure it should enter at the opening price since it is a Stop order not a Stop limit order. If the stock does not trade at $95.00 then the order is cancelled for ever. The next day the process of checking for the trigger conditions having been met will start again and a new Stop order for the following day may or not be validated.

The problem I am getting with the system tester is that even if the order is set for Good For Day it does not seem to cancel the order if it is not triggered the following day. You then end up with multiple orders at different prices and depending on price action the wrong order may trigger.

I am also confused if when testing multiple securities, the maximum positions figure is for the maximum no. of open positions in different securities or for any one security. If the former then how are multiple positions in one security handled when testing multiple securities, and if the latter how do you limit the number of open positions in any one security to just one. In my case I want only one open position at any one time in any specific security but will allow 10 different securities to be in a position at any one time.

The manual is very confusing although I appreciate it is a less than straightforward subject. Any ideas on how I set up the system tester to achieve the results I want?

slipperx

Hi Roy

Duh I am dumb - of course. I will set to it. Thanks for turning on the light.

Regards

slipperx