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<SPAN
class=810512223-04112003>maybe I wasn't clear. I'm using an AB backtest to
generate signals that, if things work out, I'll follow in real life. as a step
in the real-life direction, I'm first paper trading it, but the real issue here
is keeping the backtest, ie, the signal generator, in sync enough to generate
useful signals, given real-life execution deviations.
<SPAN
class=810512223-04112003>
<SPAN
class=810512223-04112003>clear as mud?
<SPAN
class=810512223-04112003>
<SPAN
class=810512223-04112003>dave
<BLOCKQUOTE
>
<SPAN
class=943501323-04112003>agreed, there will be differences between paper
trading this strategy and putting real money on it. still, I thought it
was another level of confirmation I'd try going through. not something I've
tried before.
<SPAN
class=943501323-04112003>
<SPAN
class=943501323-04112003>but that doesn't have anything to do with this actual
question (:-). <FONT face="Courier New" color=#0000ff
size=2>today's execution weirdness could have
happened in real life too; that LGF quote is what I saw everywhere, not just
in the paper account. I'm happy to let the trade go and live to trade another
day, but given the scored portfolio model, my AB backtest is now out of sync
with what actually "happened", and that's what i'm trying to
fix.
<SPAN
class=943501323-04112003>
<SPAN
class=943501323-04112003>dave
<BLOCKQUOTE
>Simulations
like this are FUN, but IMHO not much like real trading. I've yet
to see one that completely emulates the real world without introducing a
variety of its own short comings.--- In amibroker@xxxxxxxxxxxxxxx,
"Dave Merrill" <dmerrill@xxxx> wrote:> the new backtest
feature that allows us to see signals for the next day is a>
wonderful step towards sane real life trading of AA tests. however, I
wonder> if anyone any ideas on how to handle a real life situation
that came up in> paper trading today.> > understand
that I'm not asking for full portfolio management or anything,
or> just bitching; I know that's coming at some point. I'm just
trying to figure> out what to do now, given the current tools we
have.> > the system I'm trying out is a scored non-rotational
portfolio, trading 10> positions max. I got 10 entry signals for
today, the first day of paper> trading, but couldn't enter 3 of
them for various reasons that actually> could happen in real
life, I think. (for instance, LGF, Lion's Gate Films,> earlier
today said last tick 3.95, bid .01, asked 10, no major immediate>
news I saw. what is that about? optionsXpress' paper system wouldn't let
me> short 2 others.)> > does anyone have any ideas on
how to best move forward from here? the> backtest thinks I'm
already in 10 stocks, so unless I get exit signals> tonight, it
won't show me any new buys, and if there are sells, it'll only>
show that number of buys.> > the only thing I could think of
to sync things back up again is funky: hard> code some
exceptions, like:> > ticker = Name();> if(ticker ==
"LGF" or ticker == "CCBL" or ticker == "TRID") {> buy =
buy and Date() != 1031103> }> > as time goes on, more
of these would need to be added every time something>
unpredictable happened on the execution side.> > any other
ideas? anyone trading backtests like this?> >
daveSend BUG REPORTS to bugs@xxxxxxxxxxxxxSend
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