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<SPAN
class=241592015-05112003>understood tomasz.
<SPAN
class=241592015-05112003>
<SPAN
class=241592015-05112003>I'm looking into exploring instead of
backtesting as a way to manage execution. even though takes a bit of
juggling on my part, it's more flexible in that everything's visible to me, so I
can respond on my own to whatever actually happened in real life. I need
to semi-manually look for sells that apply to things I actually bought,
pick out the top PositionScores from among the buys, and figure out my own
position sizes. I think it's doable. luckily, this system doesn't use stops, so
it doesn't have to know exactly what was really purchased to tell me what it's
doing.
<SPAN
class=241592015-05112003>
<SPAN
class=241592015-05112003>I hate to ask the obvious question folks, but is anyone
actually trading a mechanical system they manage with AB? how do you do
it?
<SPAN
class=241592015-05112003>
<SPAN
class=241592015-05112003>dave
<SPAN
class=241592015-05112003>
<BLOCKQUOTE
>
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 <FONT
size=2>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?> >
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