Need help with financial back testing

Wil

2011 10 29

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So I'm trying to back test a strategy using bollinger bands.

I want the short signal to be whenever the high of a day is above the upper band, and I want the exit(buy) signal to be when the low penetrates the middle band. The thing I could think of was this:

s(TestHigh>UPPER)=-1

Where: S= Signal (-1 is short, 1 is long)

TestHigh = High of my data

UPPER = Upper Bollinger Band

But all that does is short whenever the high is above the upper band. So now I really don't know what to do (I just started programming, so I'm very inexperienced).

Any help is appreciated!

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Sanjeev 2012-7-1

at any point in time you will not know what the high of the day is. you need to write the strategy for the bck test as if you were walking forward in real time.

you should be generating a signal on closes not highs

even if you are using intra day data you should use the close of the 1min bar, hourly bar or whatever, i hope that helps.

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