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Werner:
I really don't see much of a problem with slippage when you are using limit
orders. If your buyprice is exactly at the limit, which also happens to be
the exact low of the day, sometimes you'll get your limit, other times you
won't in real trading. In the backtester, you'll always get filled. The
worse problem is combining limit orders with profit stops. Using EOD data,
the backtester cannot distinguish which came first, the buy or the sell. For
example, suppose the stock opened above your limit order, went higher during
the day, then retreated back to your limit, filling your order, then
declined again, closing below your limit. The backtester, not knowing which
occurred first, will fill you at your limit and exit you at the profit stop,
giving you a false profit when indeed you are sitting on an open trade loss.
So, be careful if you are using profit stops in conjunction with your limit
entries. This is probably more information than you were asking, but it is a
good caveat to be aware of.
Al Venosa
----- Original Message -----
From: "Werner" <WKRAG@xxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Sunday, March 28, 2004 12:54 PM
Subject: [amibroker] Slippage
> Good day,
>
> I noticed that there is a problem with SLIPPAGE in AB.
>
> Let's assume I am BUYING on a certain LIMIT today. AB will confirm my
> trade if my Buyprice (my Limit) = Low or higher than the Low. In
> reality though a trade may not go through because the LOW must be
> lower (or my BUYPRICE higher) because of bid/ask spread and slippage
> in real trading.
>
> So how do I account for this in AB?
>
> Thank you for any hints.
>
> Werner
>
>
>
>
>
> Send BUG REPORTS to bugs@xxxxxxxxxxxxx
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>
>
>
>
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