Here is sample technique that allows to prevent exiting position during first N bars since entry. The implementation uses loops that checks for signals in Buy array and if it finds one it starts counting bars in trade. During first N bars all sell signals are then removed (set to zero) only once counter reaches user-defined limit sell signals are accepted.
To change the N parameter please modify MinHoldBars variable (in this sample formula it is set to 17). <\/p>
Note also that code works only for regular trading systems that do not use any stops. Here is sample technique that allows to prevent exiting position during first N bars since entry. The implementation uses loops that checks for signals in Buy array and if it finds one it starts counting bars in trade. During first N bars all sell signals are then removed (set to zero) only once counter reaches […]<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":[],"categories":[7],"tags":[53,14,15],"_links":{"self":[{"href":"https:\/\/www.amibroker.com\/wordpress\/kb\/wp-json\/wp\/v2\/posts\/6"}],"collection":[{"href":"https:\/\/www.amibroker.com\/wordpress\/kb\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/www.amibroker.com\/wordpress\/kb\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/www.amibroker.com\/wordpress\/kb\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/www.amibroker.com\/wordpress\/kb\/wp-json\/wp\/v2\/comments?post=6"}],"version-history":[{"count":1,"href":"https:\/\/www.amibroker.com\/wordpress\/kb\/wp-json\/wp\/v2\/posts\/6\/revisions"}],"predecessor-version":[{"id":832,"href":"https:\/\/www.amibroker.com\/wordpress\/kb\/wp-json\/wp\/v2\/posts\/6\/revisions\/832"}],"wp:attachment":[{"href":"https:\/\/www.amibroker.com\/wordpress\/kb\/wp-json\/wp\/v2\/media?parent=6"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.amibroker.com\/wordpress\/kb\/wp-json\/wp\/v2\/categories?post=6"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.amibroker.com\/wordpress\/kb\/wp-json\/wp\/v2\/tags?post=6"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}
If you use stops or use rotational trading then the only solution would be using custom backtester. On the positive side: next version of AmiBroker (4.78) will have native implementation of MinHoldBars so you will not need to code it for yourself.<\/p><\/span>\/\/ Sample system
\/\/ Buy when MACD is greater than zero AND RSI is greater than 30
\/\/ Sell if either MACD is less than zero
\/\/ OR RSI crosses below 70
<\/span>Buy <\/span>= <\/span>MACD<\/span>() > <\/span>0 <\/span>AND <\/span>RSI<\/span>() > <\/span>30<\/span>;
<\/span>Sell <\/span>= <\/span>MACD<\/span>() < <\/span>0 <\/span>OR <\/span>Cross<\/span>( <\/span>70<\/span>, <\/span>RSI<\/span>() );
<\/span>\/\/ now we would like to ensure that position is NOT
\/\/ exited during first MinHoldBars
<\/span>MinHoldBars <\/span>= <\/span>17<\/span>; <\/span>\/\/ say don't want to exit for first 17 bars since entry
\/\/ first filter out buy signals occuring outside testing range
<\/span>Buy <\/span>= <\/span>Buy <\/span>AND <\/span>Status<\/span>(<\/span>"barinrange"<\/span>);
<\/span>BarsInTrade <\/span>= <\/span>0<\/span>;
for( <\/span>i <\/span>= <\/span>0<\/span>; <\/span>i <\/span>< <\/span>BarCount<\/span>; <\/span>i<\/span>++ )
{
<\/span>\/\/ if in-trade, then increase bar counter
<\/span>if( <\/span>BarsInTrade <\/span>> <\/span>0 <\/span>) <\/span>BarsInTrade <\/span>++;
else
if( <\/span>Buy<\/span>[ <\/span>i <\/span>] ) <\/span>BarsInTrade <\/span>= <\/span>1<\/span>; <\/span>\/\/ on buy signal start counting bars-in-trade
\/\/ if we are in trade - remove sells occurring too soon
<\/span>if( <\/span>BarsInTrade <\/span>< <\/span>MinHoldBars <\/span>) <\/span>Sell<\/span>[ <\/span>i <\/span>] = <\/span>0<\/span>;
else
if( <\/span>Sell<\/span>[ <\/span>i <\/span>] ) <\/span>BarsInTrade <\/span>= <\/span>0<\/span>; <\/span>\/\/ on sell reset barsintrade flag
<\/span><\/code>","protected":false},"excerpt":{"rendered":"