|
PureBytes Links
Trading Reference Links
|
Dimitris,
You are wrong. See the blue
comments below.
Best regards,Tomasz Janeczkoamibroker.com
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Dimitris
Tsokakis
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Monday, February 17, 2003 7:36
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);<FONT
size=2>
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.
This is NOT true. Backtesting uses EOD data,
but you can place buy order during the session without
knowing
what the final High will be. You
just have to understand the way buy stop orders are
placed.
BEFORE trading hours start on Sept 29 we know
the H-L range of YESTERDAY, right ?
Now trading starts - we learn what the OPEN
price is, OK ?
Now we can call the broker (or place the
order by internet) : we place BUY STOP order at ( TODAYS OPEN + 0.6
of YESTERDAY RANGE ).
and now we can forget it... we can go for a
good dinner or have a good time with friends.
Now the trading is OVER for today. We
read the EOD records for Today.
And now we find out that the High of today
was HIGHER than our BUY STOP level.
Our broker automatically fulfilled our order
at BUY STOP level.
We didn't need to know what the final High
is. It is just enough to know
that final High was higher than our stop
level so our order got fulfilled sometime during
trading hours (it does not matter when - only
the limit price matters).
Now. ... if we backtesting such thing - we
don't really need intraday quotes. It is enough to
know that High was above our stop limit that
was based only on YESTERDAY data and todays OPEN price.
The backtester takes buystop limit as the
trade entry price and everything is OK.
We don't look into the future and this is
perfectly tradeable.
(if you wonder what happens when prices do
not move above buystop limit during the day
- it is simple : our broker just does not
fulfill the order - there is no trade)
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
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
Yahoo! Groups Sponsor
ADVERTISEMENT
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
|