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--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <amibroker@xxxx>
wrote:
> 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.
It is true, but, Tomasz, I never posted a backtesting study based on
Close price !!
I have another idea : Your point is clear [I hope the same for mine],
let us put a fullstop here [except if you want to add something more]
Have a nice day !!
Dimitris Tsokakis
> > 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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