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<SPAN
class=694012023-31102002>Ed,
<SPAN
class=694012023-31102002>
The
ETFs are nice, but I am trying to avoid commissions. My account size is
relatively small and my system triggers a trade every 3 days on average.
The commisions could quickly add up.
<SPAN
class=694012023-31102002>
<SPAN
class=694012023-31102002>Thankfully, Rydex has excellent cut-off times and no
commissions whatsoever. Very pleased with Rydex so far.
<SPAN
class=694012023-31102002>
Need
to think more about injecting stress into the system backtest as you
suggest.
<SPAN
class=694012023-31102002>
<SPAN
class=694012023-31102002>Thanks,
<SPAN
class=694012023-31102002>-Steve
<FONT face=Tahoma
size=2>-----Original Message-----From: E Winters
[mailto:e.winters@xxxx]Sent: Thursday, October 31,2002
5:32 PMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re:
[amibroker] Backtest: EOD. Trade: almost EOD.
Steve,
A few comments:
-My broker has a cutoff time of either 12 noon or
2 pm for entry of mutual fund orders. You may want to check the latest
time for entry of orders. You should also calculate the amount of time
you will need in order to place the order. Phone orders can take 5-10
minutes additional. That time should be factored in and may push back
the time you have to make a decision by.
- Backtesting should show stress for the
system. If you are buying, then you should at least buy at the lowest
price of the day, not the 3:45 pm price unless it is the lowest If you
are buying a negative index fund, then you should buy at least at the highest
price of the day. I would also add an additional amount for market
movement after you place your trade. Using a percentage of average true
range ATR would give you a way to do this.
- You might try backtesting with some of the
exchange traded funds. These ETF's trade like stocks, but have the
qualities of mutual funds. They have intraday prices so you can backtest
with SP500 intraday data and execute with the ETF. Some tickers areIWM,
IWN, etc. Of course you would have to get the intraday day for these
funds, but I assume you have intraday data for the S&P, so you shouldbe
able to get data for the ETF's from your same data source.
Regards,
Ed
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Steve
Davis
To: <A
href=""
title=amibroker@xxxxxxxxxxxxxxx>amibroker@xxxxxxxxxxxxxxx
Sent: Thursday, October 31, 20022:07
PM
Subject: [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 price is
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>
<FONTface=Arial
size=2>Does anyone have comments on the
wisdom of this approach?
<FONTface=Arial
size=2><SPAN
class=544235218-31102002>
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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