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Re: [amibroker] Re: trading backtests in real life



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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?> > 
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