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<SPAN
class=467250917-05112003>understood. do you do this with explorations or
backtests?
<SPAN
class=467250917-05112003>
<SPAN
class=467250917-05112003>do you use stops? if so, do you try to have AB tell you
when they get hit? I ask because it does need to know what got bought to do
that. for dynamic stops, I'd think you'd need to create exploration columns with
the current stop price, instead of relying on ApplyStop. is that
so?
<SPAN
class=467250917-05112003>
<SPAN
class=467250917-05112003>thanks,
<SPAN
class=467250917-05112003>
<SPAN
class=467250917-05112003>dave
<BLOCKQUOTE
>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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