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How to remove forward looking error from this basic BTST system

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  #1  
Old 30th December 2011, 06:17 PM
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Default How to remove forward looking error from this basic BTST system

hi
I was trying to test a very basic BTST system.
it has a buy condition (say if 1 day ROC > 2%),then buy at today's CLOSE & sell tomorrows OPEN.

BuyPrice = Close;
SellPrice = Open;
Buy=ROC(C,1)>2;
sell = barssince(Buy)==1 ; works fine
but when buy condition is true for many consecutive days , system do not sell the next day, But the day next to day buy was true last time.

which makes it a forward looking system, hence useless.
How can this be avoided.
I tried exrem/Flip/for loop , but with little success, as of now.

Thanks in advance.

Best regards,



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Old 31st December 2011, 08:18 AM
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Default Re: How to remove forward looking error from this basic BTST system

What is in the rest of the code? Do you have future looking functions such as zig-zag?
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Old 31st December 2011, 01:34 PM
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Default Re: How to remove forward looking error from this basic BTST system

Thanks colion for your reply
There is no other future looking functions in the system.

The future looking part creeps in when original buy condition (ROC(C,1)>2)is true for many consecutive days .
System do not sell next day if that days ROC(C,1)>2 {amibroker considers Buy as true for this day}
But practically trader cannot know at the open if closing ROC will be greater than 2.
AB keeps the position open for these days & shows profits for these days which trader will never get in real life , since he has already sold in the open.

Best Regards,
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Old 15th January 2012, 06:30 PM
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Default Re: How to remove forward looking error from this basic BTST system

any clues...
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Old 16th January 2012, 01:02 AM
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Default Re: How to remove forward looking error from this basic BTST system

got confused between roc and ref functions



Last edited by rpc; 16th January 2012 at 10:51 PM. Reason: confusion
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