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A back test is exactly that a BACK test.
I think given AB's capabilities today it's not necessary for the
purposes of what you are doing to track the trades at all in AB. I
personally don't try and track real trades in AB as they only
represent what SHOULD have happened as opposed to what did. If your
trades are happening in a paper or real account then this is your
tracking vehicle. If your system in AB beomes totally invested and
totally flat as part of some market timing device then this will self
correct at the next market sell. If not then you will of course have
to adjust it.
--- In amibroker@xxxxxxxxxxxxxxx, "Dave Merrill" <dmerrill@xxxx>
wrote:
> 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.
>
> clear as mud?
>
> dave
>
> 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.
>
> but that doesn't have anything to do with this actual question (:-
).
> 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.
>
> dave
> 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?
> >
> > dave
>
>
>
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