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<FONT face=Arial 
color=#0000ff size=2>duude!  If you can't make a profit while looking into 
the future you need to turn in your AB license.  
<FONT face=Arial 
color=#0000ff size=2> 
<FONT face=Arial 
color=#0000ff size=2>8-)
<FONT face=Arial 
color=#0000ff size=2> 
<FONT face=Arial 
color=#0000ff size=2>d
<FONT face=Arial 
color=#0000ff size=2> 
<FONT face=Arial 
color=#0000ff size=2> 


From: ed2000nl [mailto:pablito@xxxxxxx] 
Sent: Thursday, January 15, 2004 8:44 AMTo: 
amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker] rotational 
trading

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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