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Hi Uenal –
If I am flat and get a signal to enter a
long position, the limit order will often be placed below the current trading
price. If the price drops to the level specified in the limit order, I will be
filled. If the price does not drop to that level, I will not be filled and I
will not participate in that trade. I will remain flat and have missed an
opportunity.
If I am long and get a signal to exit that
position, the limit order will often be placed above the current trading
price. If the price rises to the level specified in the limit order, I will be
filled and exit the trade. If the price does not rise to that level, I will
not be filled, and I will remain in a long position. Any further price drop,
away from the limit level, produces a real loss. The system, having generated
the exit signal, may “think” it is done and not issue another exit
signal.
The difference is the lost opportunity if
I miss a limit order on entry versus a real loss and no way to know when to
exit if I miss a limit order on exit.
Howard
-----Original Message-----
From: uenal.mutlu@xxxxxxxxxxx
[mailto:uenal.mutlu@xxxxxxxxxxx]
Sent: Tuesday, November 04, 2003
3:25 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Re: On
Robustness, Post #2
True, RT quotes & level-II is IMHO mandatory
to manage
this. But why the distinction with exits?
What´s there
different compared to the entry?
-----
Original Message -----
From:
"Fred" <<span
>fctonetti@xxxxxxxxx<font
size=2 face="Courier New">>
To:
<amibroker@xxxxxxxxxxxxxxx>
Sent:
Tuesday, November 04, 2003 7:41 PM
Subject:
[amibroker] Re: On Robustness, Post #2
> There's
also no guarantee they get filled which on the trade entry
> side
might not be a horrible thing, on the exit however ...
>
> --- In
amibroker@xxxxxxxxxxxxxxx, uenal.mutlu@xxxx wrote:
> > In
backtesting it was simulated using limit orders.
> > As
you might know there is no slippage with limit orders.
> >
Commission 11 per single trade for an unlimited nbr
> > of
shares (ie. Ameritrade rates), inital capital was 25k.
> >
<<<<SNIP>>>>>
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