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Tomasz,
thank you for the extended explanation.
You just described an intraday technique. It is a matter of
definition.
For me, any action within the session is intraday and not EOD
trading.
You need RT, you need to be there, no matter how long, you need to
receive prices, make your calculations, talk to your broker, within
the session. It is so easy to loose 5 or 10 min just after the Open.
We have seen many bearish days the last 3 years and the prices, all
day long, were lower than the first 5 min.
I have no experience of this buystop technique. It must be quite
profitable for the user [if it is to buy the dinner also...].
Back to my RSIA now...
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <amibroker@xxxx>
wrote:
> Dimitris,
>
> You are wrong. See the blue comments below.
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: Dimitris Tsokakis
> To: 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);
>
> 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 Tsokakis
>
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