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<SPAN
class=795492813-15012004>I know this isn't what you were trying to talk about,
but unless I'm asleep at the wheel (never happens...), your Ref(whatever, 1)
constructs are looking at data for the following day. Position offsets look in
the future; negative offset is required to look backwards, to prior
days.
<SPAN
class=795492813-15012004>
<SPAN
class=795492813-15012004>Dave
<BLOCKQUOTE
>I
just wanted to show how sensitive systems can be but remarks are
welcome.I was testing a simple rotational system that seemed to
give pretty good results (in theory). The system buys/sells/shorts/covers
at the open with a tradedelay of 1.Following this system using a
database of about 2200 stocks on the NYSE I found that in a few cases I
could not enter a short position at the open because of this damned uptick
rule. I did not want to chase these trades (since I did not include
slippage in the calculations) so I stopped using the system to evaluate
it.I did a simple test where I added the following constraint in the
positionscore for long positions, Ref(L,1) < Ref(O,1)-0.05 and for
short positions, Ref(H,1) > Ref(O,1)+0.05,
see:par1=15;rr=11;tt=50 - StochK(rr);PositionScore =
IIf(MA(C,par1)*MA(V,par1) > 40e6 AND ( (RSI(rr) < 35 AND
C<O AND Ref(L,1) < Ref(O,1)-0.05 ) OR (RSI(rr) > 65 AND
O<C AND Ref(H,1) > Ref(O,1)+0.05 )),tt,0);Basicly
what I added for TESTING purposes is that I only buy a stock if the price
drops at least 5 cents below the open price. Same I only enter those short
positions that increase in price at least 5 cents above the
open.The result is that a winning system changes in a loosing system.
I am pretty amazed because I use such a large database. I would have
thought it wouldn't matter that much ... especially because a rough
test showed that only about 3% the possible short or long positions
are ignored due to this extra constraint. Bummer!
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