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Dear Tomasz,
I think we can agree that realistic is what is legal and may be
executed whithout the capacity of a trader.
So, in ASE buy at open, buy at close, sell at open and sell at close
are permitted by the system(of course for the next day, because you
can not read the signal and act the same day).
If the same rules are applied to other Markets, then we may have
those 4 alternatives and use them incorporated in the design of an
indicator or a trading system.
And there is another question.
Since buy at low etc are "unrealistic", then why are they included in
Amibroker selection?
Best Regards
Dimitris Tsokakis
--- In amibroker@xxxx, "Tomasz Janeczko" <amibroker@xxxx> wrote:
> Hi again,
>
> Trader already wrote it:
>
> "When working with end of day data it makes no sense to even
consider
> trading on todays close. If you want any approximation to reality
> you need to change to: buy tomorrows open (or later) for stocks and
> tomorrows close for mutual funds."
>
> Best regards,
> Tomasz Janeczko
> ===============
> AmiBroker - the comprehensive share manager.
> http://www.amibroker.com
>
>
> ----- Original Message -----
> From: "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxx>
> To: <amibroker@xxxx>
> Sent: Saturday, October 13, 2001 10:10 PM
> Subject: [amibroker] Re: The peculiar System
>
>
> > Dear Tomasz,
> > Well, it would be better to define "realistic" settings.
> > Then we could have a common measure, and this will give a meaning
to
> > the backtesting procedure.
> > So, what is your opinion ?
> > Best Regards
> > Dimitris Tsokakis
> > --- In amibroker@xxxx, "Tomasz Janeczko" <amibroker@xxxx> wrote:
> > > Dimitris,
> > >
> > > I was not commenting your system. I think it is interesting and
> > > I appreciate that you want to share with the others.
> > >
> > > The only thing I wanted to point out is
> > > that you should use more realistic back testing settings
> > > (this applies to ALL systems).
> > >
> > > The reason why I commented this particular e-mail
> > > was that you were surprised why after reversing buy and sell
> > > rules the system performed also quite well.
> > > You said "It is not easy to explain this property."
> > >
> > > My answer was: unrealistic settings could (at least partially)
> > > explain that.
> > >
> > > Best regards,
> > > Tomasz Janeczko
> > > ===============
> > > AmiBroker - the comprehensive share manager.
> > > http://www.amibroker.com
> > >
> > >
> > > ----- Original Message -----
> > > From: "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxx>
> > > To: <amibroker@xxxx>
> > > Sent: Saturday, October 13, 2001 9:34 PM
> > > Subject: [amibroker] Re: The peculiar System
> > >
> > >
> > > > Dear Tomasz,
> > > > Your comparison is not that fair and it is extremely
simplified.
> > > > If you read the text you replied, you will see that I had
> > > > 32 trades from Jan 2000.(~450 trading days).
> > > > This means 1 trade per 14 days.
> > > > The neutral buy-sell system would be
> > > >
> > > > buy= cum(1)%14==1;
> > > > sell=ref(buy,-13);
> > > >
> > > > ie 32 trades equally distributed in the whole period, whithout
> > > > any other criteria applied.
> > > > For your information, this system with the same settings for
> > > > the same stock and the same period, gives Net % profit -24%.
> > > > Best Regards
> > > > Dimitris Tsokakis
> > > > --- In amibroker@xxxx, "Tomasz Janeczko" <amibroker@xxxx>
wrote:
> > > > > Dimitris,
> > > > >
> > > > > The reason why you get so good results is the one
> > > > > I mentioned already sometime ago:
> > > > > you set unrealistic entry/exit settings - buy on day's low
> > > > > and sell on day's high.
> > > > >
> > > > > To prove it: please modify your selling formula to:
> > > > >
> > > > > sell = buy; /* sell on the same bar as you buy */
> > > > >
> > > > > and your system will be winning no matter
> > > > > what is a buy formula with buying day low and selling day's
> > high!
> > > > >
> > > > > You can go further buy on low and sell on high everyday -
> > > > > This "system" generates 45272.59 % during 281 days on DJIA
> > stocks
> > > > > without ANY optimization.
> > > > >
> > > > > Great ? Not really - it is just an effect of unrealistic
> > settings.
> > > > >
> > > > > Best regards,
> > > > > Tomasz Janeczko
> > > > > ===============
> > > > > AmiBroker - the comprehensive share manager.
> > > > > http://www.amibroker.com
> > > > >
> > > > > ----- Original Message -----
> > > > > From: Dimitris Tsokakis
> > > > > To: amibroker@xxxx
> > > > > Sent: Saturday, October 13, 2001 1:30 PM
> > > > > Subject: [amibroker] The peculiar System
> > > > >
> > > > >
> > > > > I wrote yesterday that this system is strange.
> > > > > One behavior never met before is the following:
> > > > > I scan with the exposed buy/sell conditions
> > > > > Buy=Cross(C2,C1);Sell=Cross(C1,C2);
> > > > > The best % Net profit was +391% and all the 120
combinations
> > > > > from optimization were profitable.
> > > > > Then I inverse buy/sell with sell/buy, ie
> > > > > Sell=Cross(C2,C1);Buy=Cross(C1,C2);
> > > > > The best % net profit was 88.4% (!!) and the half of the
120
> > > > combinations
> > > > > were profitable, if for a period of
> > > > > two years you were making mistakes all the time (32
trades).
> > > > > It is not easy to explain this property.
> > > > > Dimitris Tsokakis
> > > > >
> > > > >
> > > > > Yahoo! Groups Sponsor
> > > > >
> > > > >
> > > > >
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of
> > > > Service.
> > > >
> > > >
> > > >
> > > >
> > > > Your use of Yahoo! Groups is subject to
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> > > >
> > > >
> > > >
> >
> >
> >
> >
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> >
> >
> >
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