Seems like I have lots of oddball stuff happening... Here's another one:

I have written a model that buys a position at the CLOSE of the market under certain conditions. I have checked the output, and the System Tester is definitely triggering the buys on the right day and at the right price (i.e. at the close that day). So far so good...

When I run a simulation, the System Tester is dutifully examining Stop conditions (which I happen to have set at +8%, -4%) to trigger an early exit from the stock if my final exit conditions are not satisfied before one of the stops (gain or loss) is reached.

Here's the problem: Even though I am buying at the CLOSE, the System Tester is looking at the high and low price of the stock on that day and using them to trigger Stops! That is of course impossible, since I did not purchase the stock until the market closed! So the high and low that day are totally irrelevant.

I had assumed that the System Tester would properly figure out that I had not bought the stock until the close, so it would start looking at the high and low the NEXT day to decide if a Stop condition has been triggered. But it is clearly reacting to data on the day I enter the position, even though it's not until Close.

Any ideas how to prevent this? My profit calculations are way off, because many positions are exiting prematurely with a stop (gain or loss) before I have even bought in!

Thanks.

Unless you put in a Market-On-Close order to open your position. Some markets don't have this order type, so a limit buy well above the previous price should also get you in on the final order book matching auction too.

Best to check with your broker what your options are.

Thanks for the tip. I do need a bit more help though... [:)]

I am fine to use a formula for the Stop, and in fact I have tried it now with some success.
What I did was:
* Clicked the Order Type in the Sell Order tab onto "Stop"
* Entered a formula in "Limit or Stop Price":
1.08*ref(C,-1) (this triggers if the price increases by 8% from the prior close)
* Disabled the regular Stops by setting them at 100% in the Stop tab

I ran the simulation, and it is now correctly findng the right Stop price and exiting there. So far so good...

My follow-up question:
How do I enter more than one Stop condition (i.e. a Gain and a Loss)?
I tried the obvious, by changing the formula in "Limit or Stop Price" to:
1.08*ref(C,-1) OR 0.96*ref(C,-1)
But that is not working. I get screwy results back, showing a Stop order frequently Considered at $1 (impossible).
So I must be doing something wrong in how I am writing the formula to enable BOTH a Stop Gain and a Stop Loss.

Ideas?
Thanks!

Hi Bisto -

Sorry for the slow reply; I was gone for the holiday...

Yes, I did get this working! Here is what I did:

In the System Tester under the "Sell Order" tab, I clicked on "Stop" as the Order Type and entered a formula like: 0.95 * ref(C, -1).

This tells it to Stop out if the price falls 5% below the prior day's close. And then I left the values in the "Stops" tab alone (left them at 100%). That solved my problem.

Hope it helps,

Chestnut

Thanks for your answer Chestnut,

I tried your suggestion but I am not very happy of this because it seems that writing a formula in the "Limit or stop price" field associated with a Stop order type let me to place an order stopped to a price (defined by this formula) with a timing defined ONLY by the Formula field (the big one) that, of course, ignores that I would like to place the order IF something of bad is happening...

I hope that my english explanation is sufficient...

Maybe my problem is slightly different from yours, I managed to solve it choosing a market order (the only one possible trading mutual funds) wrinting in the Formula field something as the follow

TRADE RULE or STOP CONDITION

like this simple didactic example:

Cross(Mov(C,40,E),Mov(C,12,E)) or C < ref(C, -1)

Am I fully satisfied of this? Almost... now the problem is:

"How I can write a formula using the profit of my actual trade?"

C in a formula is Close but I bet that P isn't Profit :-)

My actual target is to simulate a trailing stop