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Dave,
It depends on your definition of "manage". Personally I use AB for
several systems that I trade and I use it in the context of having AB
tell me when signals occur. However, I do not use it to tell me
whether or not trades actually occured or if they did at what price
etc.
--- In amibroker@xxxxxxxxxxxxxxx, "Dave Merrill" <dmerrill@xxxx>
wrote:
> understood tomasz.
>
> 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.
>
> 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?
>
> 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 Janeczko
> amibroker.com
> ----- Original Message -----
> From: Dave Merrill
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Wednesday, November 05, 2003 12:29 AM
> Subject: RE: [amibroker] Re: trading backtests in real life
>
>
> 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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