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What
plan do you have when you zig and the market zags in the last 15 minutes?
Then you're completely out of sync. Do you close the position if there was
one and wait for the next signal? Do you hang on and grit your teeth?
What if you were supposed to open a position but didn't?
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>d
<FONT
face=Tahoma size=2>-----Original Message-----From: Steve Davis
[mailto:sdavis@xxxx] Sent: Thursday, October 31, 20022:07
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker]
Backtest: EOD. Trade: almost EOD.
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 priceis
known.
<SPAN
class=544235218-31102002>
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 on the
wisdom of this approach?
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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.
<SPAN
class=544235218-31102002>
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>
<SPAN
class=544235218-31102002> Post
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