I am by no means one of the big fish in the market, but I have not experienced a single occassion of slippage. The "opening price" that shows up on Yahoo Finance is the exact price, down to cents, that I traded with. I place orders overnight so internet connection is not my issue; the order is already handled by my broker in pre-market awaiting the opening bell.
intermilan04 --- In [email protected], "Terry" <[EMAIL PROTECTED]> wrote: > > So, this is a good lesson in slippage. Slippage WILL HAPPEN. If it's not > the open price it will be some "surprise" like Iran or N. Korea drops a > nuke or something much simpler like your internet connection is down > when you need to trade or your take a vacation. The backtester never > takes a vacation and never has computer problems and already "knows" > about all the wars, oil spills, etc ;-) > > (Not preaching to you Monty, just taking the opportunity and your > research to make a point.) > -- > Terry > -----Original Message----- > From: [email protected] [mailto:[EMAIL PROTECTED] On > Behalf Of the_bear_98 > Sent: Tuesday, August 22, 2006 16:06 > To: [email protected] > Subject: [amibroker] Re: Buying at open -- In Real Life > > > 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" <MagicTH@> 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 > 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/
