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<<Would you mind sharing the name of the broker you use to place these
orders?
I do not think I can do this with my current broker, Scottrade.>>
Almost all brokers support the orders I use... Datek, RJT, ETrade,
AmeriTrade, etc. The Order parameters from Ameritrade include:
Position - Buy, Sell, Sell Short, Cover
Terms - Market, Limit, Stop, Stop Limit
Good For - Day, GTC, Mkt on Close, End of Week, End of Month,
Good ThroughDate
Special - All or None, Do not Reduce, Fill or Kill,
I rarely trade during the day, preferring to make my trading decisions
using EOD data and placing those orders online that night for next day
automatic execution.
Each night I review all open positions and manually place (or adjust)
trailing stop loss orders using 'Sell' / 'Stop' orders. I use GTC
orders for stop loss purposes so that if I happen to be away for a day
or more, then I have absolute protection even though I may not have
'tweaked' the trailing limit price.
Nothing fancy.
But I want my backtesting software to be able to simulate all of the
available EOD Order stradegies from within code or AFL without having
to change parameter settings from a Settings window every time I want
to test a new combination.
Phsst
--- In amibroker@xxxxxxxxxxxxxxx, "Rik Rasmussen" <hrasmussen@xxxx> wrote:
> Phsst,
>
> Would you mind sharing the name of the broker you use to place these
orders?
> I do not think I can do this with my current broker, Scottrade.
>
> Rik Rasmussen
>
>
> > -----Original Message-----
> > From: Phsst <phsst@xxxx> [mailto:phsst@x...]
> > Sent: Sunday, February 23, 2003 12:00 AM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: [amibroker] Re: cannot buy on open
> >
> >
> > Yuki,
> >
> > I've read the previous posts on this subject and feel the need to
> > contribute to your side of the issue:
> >
> > AB is almost bulletproof on the technical indicators and triggers
> > needed to initiate backtest trades...
> >
> > HOWEVER, I find that the ENTRY / EXIT stradegies of AB are not
> > intuitive, and that a good bit of 'tweaking' and 'testing' is
> > necessary to even attempt to come close to real-world orders for
> > entry/exit positions of securities.
> >
> > For example, for years I have traded certain strategies as follows:
> >
> > After hours Buy or Short Limit order @ todays (EOD) close or "BETTER @
> > OPEN".
> >
> > No StopLoss entered on day of order entry execution.
> >
> > After Mkt closes on day of order execution (and each day
> > thereafter)... place trailing stop loss order .10cents above or below
> > todays high or low (only if new stop moves in direction of position).
> >
> > The above has been a successful strategy with my own backtesting
> > software and actual trading discipline.
> >
> > I cannot figure out how to accomplish the above in AB.
> >
> > And if folks are tolerant, I think I can come up with some other
> > situations that have eluded me in past AB backtests that I can
> > accomplish with my own software.
> >
> > And for those who wonder why I fool around with AB... TJ has done an
> > unbelievable job on the many technical indicators that are needed to
> > setup entry and exit signals that my own software is not capable of.
> >
> > I tend to still rely upon my own backtesting (called 'SIM') for
> > verification of real trading stradegies, but only because I haven't
> > figured out the more esoteric issues of AB Order/Entry issues.
> >
> > Regards,
> >
> > Phsst
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