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My mechanical system
generates buy/sell signals using SP500 EOD data and is backtested assuming the
trade is made on the same day before the final closing price is
known.
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I am considering
trading the system with mutual funds by obtaining the current SP500
price at 3:45 with the assumption that the prices will not move too much
during the last 15 minutes of the day.
<SPAN
class=544235218-31102002>
<FONT face=Arial
size=2>Does anyone have comments onthe
wisdom of this approach?
<FONT face=Arial
size=2>
It would be nice to
somehow backtest the system by injecting noise into the closing prices. I want
to simulate slightly inaccurate closing prices to generate buy/sell signal,but
I must use the actual closing prices for the profit/loss calculations. I'm not
entirely sure how to do this.
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Any advise or
comments would be appreciated.
<SPAN
class=544235218-31102002>
<SPAN
class=544235218-31102002>Cheers,
<SPAN
class=544235218-31102002>-Steve
<SPAN
class=544235218-31102002>
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class=544235218-31102002>
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