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I think your system is a realtime system. I use and I do mean
signals based on EOD data only (incl. "current" data, but
of course not realtime). My use of a system (nearly every system
I used) I do use for entry decision only, and do the exit manually,
this time using realtime charts and order book data (ie. Level-II),
but not using any RT quotes for the system. Ie. in realworld trading
the system is not used for exit decisions.
In backtests I mainly use "Nbar exit" and I try to apply the
same
to realworld trading. As said, for me the most important part is the
right entry time (ok, many will disagree with this statement and
will say that exit timing is the most important; never mind,
everyone has his own beliefs. For me the right exit time is of
course of importance too, but mainly for risk reduction by early
closing a bad trade). And, usually I'm holding a position max. 1
day
or _just overnight_ or both (I did my stats... :-)
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Howard
Bandy
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Cc: <A title=howardbandy@xxxxxxxxx
href="">howardbandy@xxxxxxxxx
Sent: Thursday, November 06, 2003 4:48
AM
Subject: RE: [amibroker] Re: On
Robustness, Post #2
<SPAN
>Hi Uenal
–
<SPAN
>
<SPAN
>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.
<SPAN
>
<SPAN
>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.
<SPAN
>
<SPAN
>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.
<SPAN
>
<SPAN
>Howard
<SPAN
>
<DIV
>
<SPAN
>-----Original
Message-----From:
uenal.mutlu@xxxxxxxxxxx [mailto:uenal.mutlu@xxxxxxxxxxx] <SPAN
>Sent: Tuesday, November 04, 2003 3:25
PMTo:
amibroker@xxxxxxxxxxxxxxx<SPAN
>Subject: Re: [amibroker] Re: On
Robustness, Post #2
<SPAN
>
<SPAN
>True, RT quotes & level-II is IMHO
mandatory<SPAN
>to manage this. But why the distinction with
exits?<SPAN
>What´s there different compared to the
entry?<SPAN
>----- Original Message
-----<SPAN
>From: "Fred" <<FONT
face="Courier New" size=2><SPAN
>fctonetti@xxxxxxxxx<FONT
face="Courier New" size=2><SPAN
>><FONT
face="Courier New" size=2>To:
<amibroker@xxxxxxxxxxxxxxx><FONT
face="Courier New" size=2>Sent: Tuesday,
November 04, 2003 7:41 PM<FONT face="Courier New"
size=2>Subject: [amibroker] Re: On Robustness,
Post #2<FONT face="Courier New"
size=2>> There's also no guarantee they get
filled which on the trade entry<FONT
face="Courier New" size=2>> side might not be
a horrible thing, on the exit however ...<FONT
face="Courier New" size=2><SPAN
>><FONT
face="Courier New" size=2>> --- In
amibroker@xxxxxxxxxxxxxxx, uenal.mutlu@xxxx
wrote:<SPAN
>> > In backtesting it was simulated using limit
orders.<SPAN
>> > As you might know there is no slippage with
limit orders.<SPAN
>> > Commission 11 per single trade for an
unlimited nbr<SPAN
>> > of shares (ie. Ameritrade rates), inital
capital was 25k.<FONT face="Courier New"
size=2>> ><FONT
color=navy><SPAN
><<<<SNIP>>>>>
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