PureBytes Links
Trading Reference Links
|
Dave,
If you remember my posts on amibroker-beta list you will
notice that I was pointing out exploration from the very beginning.
BTW: stops could be handled in exploration as well, but in
fact stops were designed to be placed directly with your broker
at the time when you ENTER the trade. So you place order to
buy some shares and place (at the same time) the stop loss
order (SELL STOP at (say) 10% less the purchase price). This
stop order will be executed automatically by your brokerage,
and there will be no need to 'scan' for it.
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 4:43
PM
Subject: RE: [amibroker] Re: trading
backtests in real life
<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?> >
daveSend BUG REPORTS to
bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web
page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of
Service. Send BUG REPORTS to
bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web
page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of
Service. Send BUG REPORTS to
bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page:
<A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
Send BUG REPORTS to bugs@xxxxxxxxxxxxxSend
SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page:
<A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
Send
BUG REPORTS to bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
Yahoo! Groups Sponsor
ADVERTISEMENT
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 the Yahoo! Terms of Service.
|