Isn't it possible to do backtesting with the middle indicator? For example, I created the following system for Amibroker:
Average_Close_Old = Ref(H,-1)+Ref(L,-1);
Average_Close_New = H+L;
Buy = Average_Close_New > Average_Close_Old;
Sell = Average_Close_New < Average_Close_Old;
Short = Average_Close_New < Average_Close_Old;
Cover = Average_Close_New > Average_Close_Old;
In backtesting over the last year with AAI, the system performs well. It doesn't pefrom well with BBBY.
For some reason, the system will only go long and not short. Does anyone know how to correc the system so that it will go short as well as long?
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