Personally I prefer to backtest using Buyprice = H and Sellprice = L regardless of how the system is to be traded. This way if the system works OK on backtest I know it was done on worst case and I should be able to do better in real life. Too often i have found a system backtest based on possible entry/exit prices does not preform in real time trading due to various reasons like slippage.
-- Cheers Graham AB-Write >< Professional AFL Writing Service Yes, I write AFL code to your requirements http://www.aflwriting.com On 26/03/07, Michael.S.G. <[EMAIL PROTECTED]> wrote: > Just to add to this: > SetTradeDelays(1,1,1,1); are the MINIMUM values for backtest framework. > Stops can exit same bar as signal in backtest framework. But it's > generally not recommended or even possible for all people. > (eg You have setup with your broker "price limits" for the stock > purchased. This is dependent on broker services, And should be > considered a Bonus, Not a standard.) > > Not all "Delayed" data comes with O/H/L/C. eg Quotetracker delayed > quotes (5min) populates OHLC values with "Last sale" price. > > ATB > Michael. > > > Michael.S.G. wrote: > > > > I'm noodling around with some *backtest framework for system comparison.* > > > > If one were running an EOD system. When a signal is generated, The most > > reasonable buy/sell price would be the next bar's open price. We can't > > realy expect to "Get" the High or Low, And the Close for the next day is > > not appropriate either. > > As such, the following default setting to all *EOD* backtest should be > > reasonable.... > > SetTradeDelays(1,1,1,1); > > BuyPrice = Open; > > SellPrice = Open; > > > > As per Richards help, I figure delayed quotes (5/15/60min etc) should be > > handled the same way as EOD. > > As such, the following default setting to all *DELAYED* backtest should > > be reasonable.... > > SetTradeDelays(1,1,1,1); > > BuyPrice = Open; > > SellPrice = Open; > > > > (If using any timing below 5min, Then getting order to market by the > > next bar may not be possible!) > > > > As Realtime data is sent in Ticks containing the price in the "Close" > > field, Buy/Sell price must be "Close" value. > > As such, the following default setting to all *REALTIME(TICK)* backtest > > should be reasonable.... > > SetTradeDelays(1,1,1,1); > > BuyPrice = Close; > > SellPrice = Close; > > > > (Im not realy sure how realtimers calc their entry price/delays, Because > > I doubt you could get an order to market "In the next Tick!") > > > > Any comments would be warmly welcome. > > > > ATB > > Michael. > > > > (I'd like to post a common framework for people to reasonably compare > > trading systems if there is enough people interested) > > > > > > > > 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 NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: > http://www.amibroker.com/devlog/ > > For other support material please check also: > http://www.amibroker.com/support.html > > Yahoo! Groups Links > > > >
