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Hi UM,
Tuesday, July 8, 2003, 11:17:02 AM, you wrote:
umtod> The same question you could ask everybody offering any
umtod> (financial) products. Why not keep it secret.
The answer is pretty apparent to me: They can make more money selling
the system than trading it. (The system looks better than it really
is.) Sorry, but the mathematics of selling a good system just don't
work out. Way too much hassle, and even legal liability. Some
people are not going to follow it, and take a lot of your time to
complain. Others may actually sue you. If you have a good system,
raising capital is a piece of cake. But not by selling it. ^_^
umtod> My current sytems work superior if the following framework is
umtod> given: Enter a position some minutes before market close and
umtod> exit the position on the next day or days again some minutes
umtod> before market close.
Huh???
How can you back test on such subjective criterion? You are back
testing EOD data, as you say below, yet your fill prices cannot
possibly be determined from any part of EOD data, since they are
neither open nor closing prices (I won't even mention the absurd idea
of filling on a H or L, which I'm sure you're not doing). On that
basis, EOD data, can you even guarantee that a fill would take place
"some minutes before market close"? I kind of doubt it, as "some
minutes before market close" is famous for "some unexpected
volatility". I have seen stocks, deeply liquid high-caps, with very
high range bars on the day in question, be at 98 percent of the day's
range 10 minutes before close, 50 percent of the day's range 5
minutes before close, and close on the high (100 percent of the
range) -- or the low (zero percent of the range, but I will admit
this is rare, although it happens). You may go in with limit orders,
but your system, testing on EOD data, would seem to have no way of
knowing whether the order was filled or not, since the order is
neither open nor close. In a back test of course the test engine is
going to *assume* a fill, because the limit price is between H & L.
But that doesn't mean anything in the real world. And if you are
going in with intraday market orders, which guarantee fills, you have
nothing to back test. Nothing at all, with EOD data.
umtod> That is: since it was tested on EOD data,
Yuki
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