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Yes, i try to work with high volume stocks, about the top ten N100 I think.
There are a few practical problems not mentioned too often....
1) The Real Time prices we see on our TWS and Charts are history, i find
that by the time I entered my order the favorable condition may have gone
with the wind and i miss the trade. One problem is the time it takes to
enter the limit and stop prices (why i am so eager to get an auto-order fill
function in afl). But there is another problem we cannot measure: EVERYTHING
we see is delayed by the speed/efficiency of our internet connection. A 1-2
second delay can be serious when prices move fast. The problem is that i
don't know how to measure this delay.... for all i know i might be working
with 5 second old data! This may explain at least in part why some limits
don't get filled. This is especially worrisome when trying to trade from
abroad.
2) I am not 100% clear on this but our orders may actually changing the data
we work with. Most systems are backtested in a way to ensure that our limit
prices fall within the bars H and L however, if i place a real time limit
order at $10 and the price gaps from $9.90 up to $10.10, moving through my
limit (minute bars), it is possible (?) that my orders does actually get
filled even though it is outside the H-L range in the backtest, in which
case my order changed the data. i am struggling with this idea and this is
the reason that I am playing with uncorrected data
(SetOption("PriceBoundChecking")).
herman
-----Original Message-----
From: ed nl [mailto:ed2000nl@xxxxxxx]
Sent: Friday, September 03, 2004 8:53 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Re: system % rule of thumb?
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
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