Terry, Yes, it looks like a "minutes" type test, but actually was about 750 trades over 8 years with an average holding time of 6.6 days. another way to look at the math would be to simply do the compounding of 4% vs. 3.7% 240 times. (approximately the number of full turns I got with my stocks over eight years--"back test" data- no way real life would hold up.). We get 1.04^240 vs. 1.037^240 for 12,246 times your $ vs. 6,122 times your money, or 50% less with "slippage" of just 0.3%. I think as long as you can look at things like this in a backtested system, you will be more aware of things to monitor to see that you are getting close to what you backtest. Thanks Monty
--- In [email protected], "Terry" <[EMAIL PROTECTED]> wrote: > > Monty, > > > > I really like your analysis and thinking on this test, but I > respectfully submit that if your system drops 50% of it's profits for a > nickel change is price, something else is wrong -- or you are trading in > minutes and not days ;-) > > -- > > Terry > > -----Original Message----- > From: [email protected] [mailto:[EMAIL PROTECTED] On > Behalf Of M Webb > Sent: Sunday, August 20, 2006 12:02 > To: [email protected] > Subject: Re: [amibroker] Re: Buying at open -- In Real Life > > > > You might want to do a sensitivity test to see what happens to your > system if you do not get the "OPEN". > > First run the cases where the High is greater than the Open, and you > fill at some possible price within that range, and then run the cases > where the Low is lower than the Open and you get that price. Here is an > example of the code. This is not "peeking", it is allowing the price to > wander up or down, and you are getting filled at some % away from the > Open. I used to think that fills could be both over and under the "Open" > by a few cents and over the long run, it should average out to the > backtested results. Obviously this depends on what your system is, but > this is what I get with my "Buy on a pullback" system. If you get fills > more than a few tenths of a percent away from the Open, even if they are > on either side, your system can drop like a stone. Yes there is a magic > zone where if you could always buy at the nanosecond the stock trades a > few cents over the Open you make even more money- BUT you can not let > your order be "seen" or of course it will fill and then the price will > drop back a few cents. You have to let the market wander up and then > jump in. Better to just try for "Open" and see that your system makes > money even if you miss the Open. > > > > -- > > Monty > > Buy = Ref(allgood,-1) > > AND O/L>=Varopendrop; > > BuyPrice = O/Varopendrop; > > _____ > Please note that this group is for discussion between users only. To get support from AmiBroker please send an e-mail directly to SUPPORT {at} amibroker.com For other support material please check also: http://www.amibroker.com/support.html Yahoo! Groups Links <*> To visit your group on the web, go to: http://groups.yahoo.com/group/amibroker/ <*> To unsubscribe from this group, send an email to: [EMAIL PROTECTED] <*> Your use of Yahoo! Groups is subject to: http://docs.yahoo.com/info/terms/
