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Dave,
This is one of the reasons why I was reluctant to include that
'next day recommendations' in backtester at all.
I was always saying that you have to wait for full featured
account manager to handle it.
I have been reluctant but still many
people pushed 'next day recommendation' concept so I added it.
Now you are facing the challenge I had in
mind writing that you would need full account manager section not just quick
hack.
So again I may repeat what I wrote already a number of times.
This will be easy with full account manager implemented.
Best regards,Tomasz Janeczkoamibroker.com
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Dave Merrill
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Wednesday, November 05, 2003 12:29
AM
Subject: RE: [amibroker] Re: trading
backtests in real life
<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
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