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I understand about the slippage. I'm trading that off versus having
to watch the open and make real-time decisions. I've found I'm better
off if I make my decisions while the market isn't open ;-). I've
backtested using the open (granted, from recorded EOD data) and
achieved good results so I'm going to go with that until I know
better.
I have done a little backtesting comparing the recorded open versus
limit buys at the open-delta% and found the open was better (since I
frequently never hit my limits).
Currently plan to only use it on stocks.
Dan
--- In amibroker@xxxxxxxxxxxxxxx, Owen Davies <owen5819@xxxx> wrote:
> Among other comments, danielwardadams wrote:
>
> >1. I'm always going to buy on opens and protect myself with a
moving
> >(EOD based) safety stop.
> >
> >
>
> Do you have any actual experience at buying on the open based on
system
> triggers? How does it work out? And what markets do you intend to
trade?
>
> I ask because I have never been certain how trustworthy the results
of
> historical tests can be when trades are entered at the market on
the
> open. It seems like the time when slippage would be at its worst.
In
> addition, some futures markets--the energies come to mind; don't
know
> whether there are others--have a wierd system of sequential trading
at
> the beginning of the day that makes it all but impossible actually
to
> get the price that is eventually recorded as the day's open. Maybe
it's
> less of a problem if you are trading stocks?
>
> Anyway, I'm curious what you--or anyone else--might be able to
report
> about this.
>
> Thanks.
>
> Owen Davies
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