Uncategories Re: [amibroker] Simulate several Pending orders

Re: [amibroker] Simulate several Pending orders

Coolman 02.26
 

Hi,
that was just a code snippet that focuses on a specific problem you cannot just plug stuff in an run a backtest.

On 3/17/2016 4:41 AM, cam_111000@yahoo.com.au [amibroker] wrote:
 

Hi Aron, thanks for uploading the code for public access.  I'd like to do something similar to the OP, but somehow I can't get it to backtest on equities.
I made a few very basic changes, but I'm not skilled in coding.  I wonder if you could suggest what I need to change please?


OptimizerSetEngine("cmae"); 
Sell = short = Cover = pos = 0;
Buy = 1;
TickSize = Optimize("1",1,1,100,1);
increment = Optimize("2",.01,.01,.99,.01) * TickSize ;
orders = 5;
PositionSize  = 10000;
Sell = C>0;

for( i = 0 ; i < BarCount ; i ++ )
{
    if( pos )
    {
    
        count = 0;
        for( n = 1 ; n <= orders ; n ++ )
        {
            if( order[n] )
            {
                if( High [i] > order [n] )
                {
                    Buy [i] = sigScaleIn;
                    count ++;
                    order[n] = 0; // executed
                }
            }
        }

        PositionSize [i] = count * 10000;
    }
    else
    {
        if( Buy [i] )
        {
            order = Null ;

            for( n = 1 ; n <= orders  ; n ++ )
            {
                order [n] = Close [i] + n * increment;
            }

            pos  = True;
        }
    }
}


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Posted by: Aron Pipa <aron@myafl.com>
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