Rank: Newbie
Groups: Registered, Registered Users, Subscribers
Joined: 7/23/2013(UTC)
Posts: 3
|
I am new to Metastock and am trying to use the Enhanced System Tester to back test a composite security. The composite is the spread of two equities. What I am trying to achieve is to buy the spread when the composite spread is less than a threshold value (-0.2) and short the pair when the spread is above a threshold (0.2). My conditions are:
Buy Order : c < -0.2 Sell Order: c > 0 Sell Short Order: c > 0.2 Buy To Cover Order: c < 0
But no orders are executed in the test even though the value of the composite goes above and below the threshold values several times).
Can someone suggest where I am going wrong ?
|
|
|
|
|
|
Rank: Advanced Member
Groups: Registered, Registered Users, Subscribers
Joined: 10/29/2004(UTC)
Posts: 1,394
Location: Glastonbury, CT
Was thanked: 2 time(s) in 2 post(s)
|
sec1:=Security("C:\MetastockData\ibm",C); sec2:=Security("C:\MetastockData\msft",C); SPD:=Sec1-Sec2; Buy Order : spd < -0.2 Sell Order: spd > 0 Sell Short Order: spd > 0.2 Buy To Cover Order: spd < 0
|
|
|
|
|
|
Rank: Newbie
Groups: Registered, Registered Users, Subscribers
Joined: 7/23/2013(UTC)
Posts: 3
|
Thanks for the response but this yields the exact same results as what I had, nothing is executed. I suspect that the issue is something to do with using a composite as similar rules work when applied to a normal equity.
|
|
|
|
|
|
Rank: Newbie
Groups: Registered, Registered Users, Subscribers
Joined: 7/23/2013(UTC)
Posts: 3
|
I have a composite that I created in the downloader that I am trying to use with the enhanced system tester. i.e. I want to generate buy and sells of the composite. In this case the composite is
Sec1 - (0.5 * Sec2).
I can't get the enhanced system tester to generate any trades whatsoever for the composite.
I have a buy rule of
c > 0.2
and even though the composite close goes above 0.2 many times nothing is triggered . ( As a sanity check I have tried the same rules against a non composite equity and this seems to work just fine). I am using Metastock 9.
Help !!
|
|
|
|
|
|
Rank: Advanced Member
Groups: Registered, Registered Users, Subscribers
Joined: 11/18/2007(UTC)
Posts: 96
Location: HK
|
You're using two composites in your formula.
|
|
|
|
|
|
Rank: Advanced Member
Groups: Registered, Registered Users, Subscribers
Joined: 3/6/2010(UTC)
Posts: 113
Location: London
|
It may seem unlikely that they are not, but are both securities on the same timeframe, e.g. both are daily, or both are hourly?
If they are not, the Security function will not work.
|
|
|
|
|
|
Rank: Advanced Member
Groups: Moderators, Registered, Registered Users, Subscribers
Joined: 10/8/2010(UTC)
Posts: 1,934
Thanks: 85 times
Was thanked: 154 time(s) in 150 post(s)
|
I realize this is originally an old post, but one thing to keep in mind is that the Enhanced System Tester cannot work with negative price data arrays. I believe the issue lies in how it tries to calculate commissions on these negative price values.
|
|
|
|
|
|
| Users browsing this topic |
|
Guest (Hidden)
|
Forum Jump
You cannot post new topics in this forum.
You cannot reply to topics in this forum.
You cannot delete your posts in this forum.
You cannot edit your posts in this forum.
You cannot create polls in this forum.
You cannot vote in polls in this forum.
