Stop & Reverse on the same bar-MS System Tester

THETRADER · #1 29th September 2007, 09:56 PM

Is it possible to write MS system with Stop & Reverse on the same bar, for backtesting? If anyone has done it, may I request to share this info, please? Thanks in advance.

THETRADER · #2 3rd October 2007, 03:38 PM

I am surprised that no answer for this. I would appreciate if any could say that it is not possible or any attempts by our knowledgable members, please.

oxusmorouz · #3 3rd October 2007, 03:57 PM

Quote:

Originally Posted by THETRADER

Is it possible to write MS system with Stop & Reverse on the same bar, for backtesting? If anyone has done it, may I request to share this info, please? Thanks in advance.

How do you mean? Can you give an example?

THETRADER · #4 3rd October 2007, 04:03 PM

Quote:

Originally Posted by oxusmorouz

How do you mean? Can you give an example?

Thanks oxusmorouz for yr reply. Take even a simple example, Go long on MACD cross above its MA (cover if any prev. short), and, exit long and go short on MA of MACD going above MACD. Thanks again in advance.

Actually the problem is, when long & short both are selected with the conditions, exit happens in one bar, and, the next trade happens in the next bar only.

oxusmorouz · #5 3rd October 2007, 04:21 PM

Quote:

Originally Posted by THETRADER

Thanks oxusmorouz for yr reply. Take even a simple example, Go long on MACD cross above its MA (cover if any prev. short), and, exit long and go short on MA of MACD going above MACD. Thanks again in advance.

Actually the problem is, when long & short both are selected with the conditions, exit happens in one bar, and, the next trade happens in the next bar only.

In enhanced system tester, select the system to test, select the data, and now, in system testing options, click on "more". Go to the "Trade execution tab", uncheck "realistic market prices" and enter "0" in "delay order opening". Check if this works.

THETRADER · #6 3rd October 2007, 04:38 PM

No, it doesnt. In fact, this is the setting I use. I have also tinkered around with the parms on Portfolio Bias (Single / Multiple), and, Position Limit (Limit no. of simultaneous positions to). Different results, but not Stop & Reverse.

oxusmorouz · #7 3rd October 2007, 04:45 PM

Quote:

Originally Posted by THETRADER

No, it doesnt. In fact, this is the setting I use. I have also tinkered around with the parms on Portfolio Bias (Single / Multiple), and, Position Limit (Limit no. of simultaneous positions to). Different results, but not Stop & Reverse.

Well, tell me if this is what you want:
1) Buy on the same day when there is a short exit
2) Short on the same day when there is a buy exit

THETRADER · #8 6th October 2007, 04:09 PM

Thanks a lot, I've been away and that's why could not reply immediately.

You've said it exactly right.

oxusmorouz · #9 6th October 2007, 04:16 PM

Quote:

Originally Posted by THETRADER

Thanks a lot, I've been away and that's why could not reply immediately.

You've said it exactly right.

This is the default set-up in metastock if you have not added any bar delay and if you have entered "0" in delay order opening. Calculations, if I'm not wrong, are done on this basis.

THETRADER · #10 6th October 2007, 04:23 PM

That's super fast blazing response. Thanks a million for yr response.

That's what is logically expected, but is not happening. What happens is, it exits on the correct bar, and, enters on the next bar. I thought it could be because of available money (Equity), and, then changed to points only test. Still the same results. BTW, it is MS ver 8.0.