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>As for the delay -1, ...I am not ready yet [!]
DT,
Keep in mind: Trend following/breakout approaches tend to have a lot of
slippage. Once price is going straight up, you can usually identify a much
better price on today close, rather than tomorrow's opening.
If you are using a momentum/mean reversion approach you can trigger trades
when momentum hits "certain levels". Many times, this means that you will
receive a better price on the opening tomorrow, then you receive from
today's close (mean reversion applications tend to be early). Of course, if
you wait for your Indicator to turn around and the new direction triggers
you in ...you suffer slippage again. Anticipating the end of a retracement
is always a hairy experience.
So, depending on how the system is designed, there are advantages to timing
in early for systems (like a breakout or an oscillator changing direction).
Momentum oscillators tend to be early. Look at all the classic Sto, RSI,
Williams, StoRSI, CMO and you see divergence. Sometimes, slower is better.
I'll give some execution times a spin and report back.
Take care,
Steve
Take care,
Steve
----- Original Message -----
From: "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Thursday, July 17, 2003 2:04 PM
Subject: [amibroker] Re: Steve Karnish
> Steve,
> I use to consider as "usual" settings the buy/sell at Open, delay=1.
> If it is possible, try your system with buy/sell at Open, delay=0.
> If it is much better [it is the rule, but not for all systems], then
> we may apply the "Prediction" techniques [they are independent on
> Open/Close, just let us use Open as a common basis]
> As for the delay -1, ...I am not ready yet [!]
> Dimitris Tsokakis
> --- In amibroker@xxxxxxxxxxxxxxx, "CedarCreekTrading" <kernish@xxxx>
> wrote:
> > DT,
> >
> > Let me run some simulations and get back to you. It's been my
> experience
> > that delay=0 usually yields better than delay=1. Are we talking
> about
> > executing on the opening of delay=0 or the close of that day?
> >
> > Sometimes, indicators are "fast". Sometimes, delay=-1 is far
> superior to
> > zero or plus one . I think we all have a tendency to want to
> believe that
> > quicker is better. "Real cowboys only trade tick charts". It's
> the code of
> > the west. Who's got the fastest gun in town?
> >
> > I'm anxious to explore "time" and learn,
> >
> > Take care,
> >
> > Steve
> > ----- Original Message -----
> > From: "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxx>
> > To: <amibroker@xxxxxxxxxxxxxxx>
> > Sent: Thursday, July 17, 2003 1:17 PM
> > Subject: [amibroker] Re: Steve Karnish
> >
> >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "CedarCreekTrading"
> <kernish@xxxx>
> > > wrote:
> > >
> > > > So, TIA...examine, improve, implement changes, and structure
> > > strategies that
> > > > will turn this simple indicator (or any offering) into the
> > > cornerstone of a
> > > > "system" (for these examples, we still don't even know if that
> is
> > > possible).
> > > > Take care,
> > > >
> > > > Steve
> > >
> > > Steve,
> > > Is the performance of your system improved when delay=0 [instead
> of
> > > the regular delay=1] ?
> > > If positive, then we may apply the Prediction procedure to catch
> > > earlier signals , anticipating your crossovers by one bar.
> > > Dimitris Tsokakis
> > >
> > >
> > >
> > >
> > > Send BUG REPORTS to bugs@xxxx
> > > Send SUGGESTIONS to suggest@xxxx
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> > >
>
>
>
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