Re: [amibroker] Automatic trading based on closing price

Fri, 30 Jun 2006 21:27:10 -0700

Hi Dave
 
Two months ago,  I told you that my system was EOD and that the buy was on the close.  Since my backtesting results are good, I think I will begin to trade the system soon. 
 
In a previous email, you told us that your system was EOD and that it was based on closing price.  Since you can't know the closing price until it's closed, I suppose that you buy a few minutes before the close.  If yes, does the following situation happens frequently :    the buying price is higher than the closing price.  So higher that your results are very different than your backtesting results ?
 
Once again, sorry if I make mistakes.  My mother tongue is French.
 
Monica
 
 
 
 
----- Original Message -----
From: lapilia
Sent: Tuesday, May 02, 2006 7:30 PM
Subject: Re: [amibroker] Automatic trading based on closing price

Hi Dave
 
I have the same problem.  My system is EOD and the buy is on the close.
 
If your data source allows you to access less than 100 tickers in RT...   Here is a solution.  But as you will see, it is not a perfect one. 
 
The Yahoo's current day only is delayed by 15 minutes.  So, what about the following :
 
1.    Get quotes from Yahoo's current day only at 3:45 PM.  If your Internet connection is a fast one,
       it should take around 15 seconds to get delayed quotes for all the stocks (1200) in your database. 
2.    Make a backtest or a scan in order to see which symbols would have generated a buy alert
       around 3:30 PM.  
3.    Put these symbols in a database that is connected with your real time quotes provider.
4.    Take a look at their chart or scan them in order to see if they still meet your criteria. 
       Note that step 1 to step 4 should not take more than 5 minutes.
5.    If these stocks still meet your criteria at 3:50 PM or 3:55 PM,  buy them.
 
The main problem with this procedure is that you'll never know which stocks will meet your criteria between 3:30 PM and 4:00 PM.  You'll only know which ones met your criteria before 3:30 and if they still meet your criteria after or around 3:50 PM.    Anyway ...  If your system generates many trades on a daily basis,  knowing only a few should be OK.
 
As I said earlier, this is not a perfect solution.  But unfortunately,  this is the only one I can figure out.
 
If you ever find a better one, please let me know.
 
 
Monica
 
Sorry if I made mistakes.  My mother tongue is French
 
 
 
----- Original Message -----
From: "soundscribe_studios" <[EMAIL PROTECTED]>
Sent: Tuesday, May 02, 2006 1:25 PM
Subject: [amibroker] Automatic trading based on closing price

>I have a system where I need to place orders at the close (or very
> near the close) based on the closing price. Obviously, I can't know
> the closing price until it's closed, but I'm thinking a few minutes
> before the close would be fine. For example, if ABC's closing price is
> x% below the lower 10 day Bollinger band, buy.
>
> I'd like to scan all of the stocks in my database (around 1200), check
> each one to see if it meets the criteria (based on the almost closing
> price) and then place the orders. My stock database is an EOD
> database, not real time, but I'll need to get one real-time quote for
> each ticker. I suppose I could write a program to get the realtime
> quote from IB and compare it with the trigger value, but don't know if
> it would be fast enough to scan through 1200 tickers in a few minutes.
> I can't use Yahoo as the delay would be too large.
>
> I'd rather not pay eSignal 50-100/month. Any other alternatives or
> ideas? Yahoo's current day only download would be perfect if it was
> real time and not delayed.
>
> Thanks,
>
> Dave
>
>
>
>
>
>
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