[amibroker] Limit orders for exits (was On Robustness, Post #2)

["b519b" <b519b@xxxxxxxxx>]

Fred,

You are right on.

Missing an entry (by using a limit order) is only an "opportunity" 
cost; but missing an exit (by trying to use a limit order) may incur 
a substantial real cost.

b


--- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> There's also no guarantee they get filled which on the trade entry 
> side might not be a horrible thing, on the exit however ...
> 
> --- In amibroker@xxxxxxxxxxxxxxx, uenal.mutlu@xxxx wrote:
> > In backtesting it was simulated using limit orders.
> > As you might know there is no slippage with limit orders.
> > Commission 11 per single trade for an unlimited nbr 
> > of shares (ie. Ameritrade rates), inital capital was 25k.
> > 
> > 
> > ----- Original Message ----- 
> > From: "Fred" <fctonetti@xxxx>
> > To: <amibroker@xxxxxxxxxxxxxxx>
> > Sent: Monday, November 03, 2003 9:10 PM
> > Subject: [amibroker] Re: On Robustness, Post #2
> > 
> > 
> > > At what combined commission and slippage rate so we have a 
clue 
> > > exactly how REAL it is ?
> > > 
> > > > A real example:
> > > > The system xxSys005 has the following data:
> > > > pWinRate = 0.64
> > > > pProfitRate = 0.82
> > > > ER = (0.64 * 0.82) / (0.64 * 0.82 + (1 - 0.64) * (1 - 0.82)) 
= 
> 0.89
> > > > That means: this system makes up 89% of an ideal system.


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