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On backtesting in real life "This is one of the reasons why I was
reluctant to include that 'next day recommendations' in backtester at
all"..
Is there any way we can set CONDITIONS regarding
the next day trading.
For Example : If I place a stock price in for the stock next day by
using the editor.
COND=......AND........;
1) If the high of the day exceeds the close of yesterday high
tomorrow leave signal just as it was yesterday.
2) If the low exceeds yesterday low "sell" or below the Elders stop-
loss.
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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