Backtesting with daily bars, I would like to find a way that when 2 entry signals trigger on the same symbol on the same day,
only one of them registers as a trade in the backtest. (This is to avoid a doubling of my capital requirement, which in
actual trading I avoid.)
Each of the 2 signals is a bit too complex to simply write !=, !=.
I've tried Signal Statistics, which seemed to be the logical approach, but without success. Possibly I'm setting the values incorrectly.
Any ideas?
David,
If you have one rule that triggers a "Buy (to open position)", and another rule below it also triggers a "Buy (to open position)" on the same bar, that 2nd Buy will be ignored because we are already long. Only a "Buy More" would be honored in this situaition. Let me know if you're experiencing anything different in your backtesting.
Sorry, my question was in error, in that the signals sometimes occur on 2 different symbols, not on the same symbol.
Thus, I'd like to find a way to limit the bar signal to one or the other of the 2 signals, if they occur at the same time.