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Dave,
I set this as an extra constraint to test the
system. The system now only selects stock of which I know I will get them for
sure. So by looking one day in the future this test filters out the
stocks that take off from the open price (down for shorts and up for longs). In
the case of short positions I will not be able to enter these trades at the
open price because of the uptick rule. Long positions I can get in using MOO
(market on open orders with Interactive Brokers).
so you are right, this test looks one day into the
future, but that was the plan.
rgds, Ed
----- Original Message -----
<BLOCKQUOTE
>
<DIV
>From:
Dave Merrill
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Thursday, January 15, 2004 2:30
PM
Subject: RE: [amibroker] rotational
trading
<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! Send BUG REPORTS to
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