I have an EOD strategy and I want to try a backtest to see how it would perform if the strategy was executed more than once per day. I’ve used AmiBroker for many years and found it can do almost anything with some creative programming, but I haven’t yet found a way to perform this backtest.
To clarify, suppose I have a database with 15-minute intraday frequency. There will be 27 trading opportunities each day starting at 9:30 and ending at 4:00. The strategy is coded as an EOD system – it expects Ref(C, -1) refers to yesterday’s close, not the close 15 minutes ago, so merely executing the strategy with 15-minute data will not work properly. Likewise, TimeFrameCompress also will not work because it removes the opportunity to place trades at intraday frequency. What I am imagining is something like a rolling TimeFrameCompress that compresses previous bars with a daily frequency, executes the AFL, then moves forward 15 minutes and repeats. I don’t mind if the backtest is extremely slow, so I’m willing to explore creative solutions using for loops or even OLE automation if it will work.