|
PureBytes Links
Trading Reference Links
|
Fred, you forget the probability of going up
or down; it also could go exactly to the other direction.
Why has it always to fall? Has it to? I mean the
same scenario could also happen inversed (ie. in
short covering case). So what? IMHO a zero-sum game.
And, it also depends on the qty one wants to sell/cover.
Small qty will not have any effect to the share
price regarded enough volume and liquidity is
present at the moment of the selling/covering.
It has of course also todo with the right timing; imagine
in your example: if you only placed your order 30 seconds
earlier... And: you can't expect cathing the H or L.
Work with averages (ie. p=0.5). This leaves room to
both directions, and is "neutral"
----- Original Message -----
From: "Fred" <fctonetti@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Wednesday, November 05, 2003 1:13 AM
Subject: [amibroker] Re: On Robustness, Post #2
Difference ? The difference is between missing a train that just
pulled out of the station and getting run over by the train that's
pulling in. Limit orders that don't get exercised on exit leave open
large capabilities of losing money or leaving it on the table.
Picture a long position that one bought on a limit order at 10 for
which one has a 10% MaxLoss and Profit stop set up that will get one
out at 9 or 11 respectively. Price gets up to 10.94 and no further,
so for whatever reason you decide to settle for a 9.0% gain and move
your limit order to 10.90 but by the time it gets placed price is at
10.45 and falling. THIS is what slippage is about and can quite
easily be the result whether one has a limit order in place or not.
In this particular example it's already at 5.5% and growing.
Depending on how one treats this one might well wind up chasing with
ones profit stop all the way down to ones maxloss point. This is one
area where most simulated accounts don't and can't emulate real
trading as simulated accounts are likely to make limit orders go off
regardless of price and volume when in real trading they don't always
happen.
--- In amibroker@xxxxxxxxxxxxxxx, uenal.mutlu@xxxx wrote:
> True, RT quotes & level-II is IMHO mandatory
> to manage this. But why the distinction with exits?
> What´s there different compared to the entry?
>
>
> ----- Original Message -----
> From: "Fred" <fctonetti@xxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Tuesday, November 04, 2003 7:41 PM
> Subject: [amibroker] Re: On Robustness, Post #2
>
>
> > 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.
------------------------ Yahoo! Groups Sponsor ---------------------~-->
Rent DVDs Online - Over 14,500 titles.
No Late Fees & Free Shipping.
Try Netflix for FREE!
http://us.click.yahoo.com/xlw.sC/XP.FAA/3jkFAA/GHeqlB/TM
---------------------------------------------------------------------~->
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
|