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Thank you for explanations. I consider this as intraday, not EOD
trading and this was my subject. It is a matter of definition. If you
should take ANY action after the Open and before the Close, it is
intraday [for me].
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "Avcinci" <avcinci@xxxx> wrote:
> 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
> ----- Original Message -----
> From: Dimitris Tsokakis
> To: 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 Tsokakis
>
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