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Dimitris,
>How do you read Open price without intraday feed ?
Call your broker and ask what the open price is and place the order right then.
Impossible ?
Or use interactivebrokers TWS ,
Or just log on to Yahoo finance and use free ECN quotes :-)
>When do you take [any] action ? Within the session or not ?
>And, since you really act within the session and since you need
>intraday feed for your calculations, how do you call it, EOD or
>INTRADAY trading?
>
>Do you expect from the reader [and, more important, from the
>Amibroker user] to call this hybrid procedure [some elements from
>already known yesterday´s EOD AND SOME REAL TIME elements] as EOD
>trading ?
> It is not a matter of time needed for the action.
No, it does not really matter. The whole story begun with Yuki asking
about backtesting system that enters market by stop-order.
So I provided the code.
The code backtests just fine on EOD data and all you need to have
to backtest it is just EOD data.
And it is tradeable in reality.
It was about ****backtesting***** stop-based system on EOD data.
To trade such system you need to now the open price but
does it mean that you can not backtest it on EOD data ? You CAN.
And the results are reproducible in real trading (provided that you
have a telephone to call your broker)
> Do you take the risk to advise "all you have to do... " to any user
> or you are not aware of web traffic, catastrophic delays, desperate
> phone calls [I will never forget late Aug99, 30 sec were enough for
> the limit up !!]etc etc.
Such things happen also when you are trying to place order on close
and you told us many times that you place orders 5-15 minutes before
close on the signal day.
> Is your IB ref responsible enough to guarantee that you will not miss
> the trade, if the whole period your INTRADAY condition was true is 1
> min ?
It is the COMPUTER, not the human broker. IB runs automated system
that executes trades.
>I am sure you know very well these real facts, I do not know how
>easily do you overcome these difficulties with this " all you have to
> do...".
You should really check some internet-based broker to see how it works.
>Besides that, my basic question from the beginning, was about EOD and
I>NTRADAY definition. Will you call the above described action as an
>EOD trading ? This is the question, it is a matter of definition and
>not duration of the action.
As I wrote above EOD data are perfectly enough for backtesting such system.
Trading requires ability to place buy stop orders.
You may be not familiar with this type of orders and just because it is hard
to understand for you. I have given the links that provide more info in my
previous message.
Best regards,
Tomasz Janeczko
amibroker.com
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <amibroker@xxxx>
wrote:
> Dimitris,
>
> In fact all you have to do is to place one buy stop order just
after trading starts.
> Then you can turn off the monitor and go for a walk. You don't need
intraday
> feed for this and you don't need to watch the market.
> All work is done by your broker.
>
> For more reference see:
> http://www.interactivebrokers.com/index.html?
html/tws/stop_orders.html~top.body
> http://www.interactivebrokers.com/index.html?
html/tws/stop_limit.html~top.body
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: <TSOKAKIS@xxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Tuesday, February 18, 2003 8:34 AM
> Subject: [amibroker] Re: BuyPrice
>
>
> > 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
> > >
> > > Yahoo! Groups Sponsor
> > > ADVERTISEMENT
> > >
> > >
> > >
> > >
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