BtMovingAverage efs

[linus71]

Hi,
what's wrong with the BtMovingAverage EFS in the BackTesting folder that it doesn't take gaps?

I've rewritten the code with

Strategy.doShort("Crossing Down", Strategy.LIMIT, Strategy.THISBAR,null,v-v%0.5); 

instead of

Strategy.doShort("Crossing Down", Strategy.MARKET, Strategy.THISBAR); 

(same for doLong)

Anybody has a solution?

Linus

[ACM]

Linus
You may want to post the code.
Alex

[ACM]

Linus
Did you try and plot the Limit price to see if it is actually hit?
Alex

[Doji3333]

I handle this differently...

I check for the gaps in the attempted LIMIT orders and fill the price differently...

For example, if the price gaps below my expected entry price, I fill the order at the OPEN of the bar. Otherwise, I fill it at the expected LIMIT price.

Brad

[ACM]

Linus
Here is an example of the efs not triggering a Buy because Limit price is not touched
Alex

[ACM]

Linus
The workaround is what Brad suggested earlier ie to check if the Open is not above/below your Limit. At that point you need to decide if you simply SAR at the Open or close the trade at the Open and reinstate a position if the Limit is touched.
Alex