|
PureBytes Links
Trading Reference Links
|
hi Herman,
yes, but that is not a problem because that can be backtested. I included that in my backtests like you suggested to enter and exit these trades at the same price so that in the backtest the money can not be used for another trade (it simulates that the order is sitting in the market all day). To exit a trade on the limit is no problem because it only exits when it hits a certain limit.
In my opinion if you make sure that you only use stocks with C * V greater than 30e6 or something like that (this is what I use) then you can be pretty sure that when it hits the limit the order will be executed completely (assuming you do not want to buy like 20000 stocks). Obviously I develop systems for stocks (and a lot of them).
The problem is to make a backtest that represents reality as close as possible. In my opinion entering and exiting on the limit is as close as you can get to reality.
regards, Ed
----- Original Message -----
From: Herman van den Bergen
To: amibroker@xxxxxxxxxxxxxxx
Sent: Friday, September 03, 2004 2:34 PM
Subject: RE: [amibroker] Re: system % rule of thumb?
Yuki, I included an equity curve but yahoo blocked it.. it was "nice".
However the question from the poster was about the possible % winners and
that is the only aspect i wanted to cover. And, yes, I agree with what you
write, and that is why i wrote in my earlier post: "Of course the % winning
trades is not proportional to % profit so you should look at the whole
picture." but you may have missed that :-)
Ed, in my limited trading experiend the only problem with limits is that i
do not get all my trades, but sometimes it is better that way. Eagerness to
get in to the market has done more harm than good in my case. Also, indeed
winners and losers were almost equal in magnitude in the example case.
herman
[Non-text portions of this message have been removed]
Check AmiBroker web page at:
http://www.amibroker.com/
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Yahoo! Groups Sponsor
------------------------------------------------------------------------------
Yahoo! Groups Links
a.. To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
b.. To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
c.. Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
[Non-text portions of this message have been removed]
------------------------ Yahoo! Groups Sponsor --------------------~-->
$9.95 domain names from Yahoo!. Register anything.
http://us.click.yahoo.com/J8kdrA/y20IAA/yQLSAA/GHeqlB/TM
--------------------------------------------------------------------~->
Check AmiBroker web page at:
http://www.amibroker.com/
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|