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Yuki,
I think that the problems of determining the sequence of prices during the
day makes the use of intra-day stops difficult unless you use tick data, but
once you aggregate the ticks together into 1 minute, 5 minute or EOD bars,
you lose the data resolution needed to determine if the stop is valid. The
software has to make certain assumptions about the sequence of events. I am
sure that Thomasz has done his best to make the software produce meaningful
results, but in my view, it is not possible for the software to know what
price came before what other price on an EOD basis. Herman said he tried the
backtest with intra-day data. I wonder if he tried it with 1 minute data.
That might produce something more realistic since it would reduce the data
error and the probability of hitting both the entry and exit on the same bar
(unless it is a wide range bar).
Regards,
Ed
----- Original Message -----
From: "Yuki Taga" <yukitaga@xxxxxxxxxxxxx>
To: "E Winters" <amibroker@xxxxxxxxxxxxxxx>
Sent: Wednesday, June 30, 2004 6:22 PM
Subject: Re: [amibroker] Percent Profit Trailing Stop Question
| Hi E,
|
| Wednesday, June 30, 2004, 11:25:20 PM, you wrote:
|
| EW> Herman, This problem occurs in other backtesting platforms such
| EW> as Tradestation. When you activate intra-day stops on EOD data
| EW> you are setting up a testable, but unrealistic scenario. Since
| EW> the software has no way of knowing the sequence of prices during
| EW> the day
|
| Just the opposite I think. Realistic, but untestable, isn't it?
| ^^_^^
|
| Yuki
|
|
|
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