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Dimitris:
Yuki's system is based on stops, which are
instantaneous signals, not signals that can/should be acted upon the next day at
the open. Therefore, delays must be set to 0, not 1 as you are assuming. For
backtesting purposes, I see nothing wrong with using a delay of 0 to
simulate a stop-based system.
AV
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Dimitris
Tsokakis
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Monday, February 17, 2003 1:36
PM
Subject: [amibroker] BuyPrice
Tomasz,Here is an example to clear my point :In AA
we have
Stoplevel = Open + 0.6 * Ref( H - L, -1 );Buy = High
>= StopLevel;BuyPrice = StopLevel; Sell=Ref(Buy,-3);// for
example
and in IB we have
Stoplevel = Open + 0.6 * Ref( H - L, -1 );Buy = High
>= StopLevel;BuyPrice = StopLevel;
Sell=Ref(Buy,-3);Plot(C,"C",1+6*Buy,64);Plot(STOPLEVEL,"STOPLEVEL",4,1);
On Sept29, point X, we have the red line
STOPLEVEL=11.58, H=11.65, consequently High>=StopLevel and this is a Buy
signal.Since we use EOD, we know the Buy signal AFTER the end of the
session.We give to our broker the order Buy at 11.58 for tomorrow, the
Sept30.But, it is impossible, since the highest Sept30 is 11.08.So,
the order will not be executed.On the other side, in the AA we see a
buy arrow on Sept29 and [in actual trades mode] a buy arrow on
Sept30.
The same for Aug6, 2002, point Y
STOPLEVEL=12.06, H=12.62
It is a Buy, with BuyPrice 12.06.
But, the next bar range was [12.52,13.45]. What is the
actual price we buy on Aug7 ?In general, a buyprice given in advance
may not happen at all the next trading day, no matter if it appears in AA
results.
Here is the conflict, AA says we have an impossible trade
for tomorrow.Do I still miss something ?Dimitris
TsokakisPost
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