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Among other useful comments, Al Venosa wrote:
>Setting trade delays to 0 means that the buy
>occurs on the same day the signal is generated, and in real life you'll
>never know whether to buy until you download the data at the end of the
>day in order to see if the cross occurred.
>
I hear this so often, but I really have problems with it. We live in a
world where real time data is not all that hard to find or pay for. Five
minutes before the close, I usually have a pretty good idea where the
close will occur. For most sytems, all the necessary parameters can be
calculated "near enough" and a trade entered before the close. Some of
the errors will be in your favor, too darn many not, but in the end a
fantastically profitable system should still be acceptably profitable.
For that matter, in a world of 24-hour electronic trading, the close
does not mean quite what it used to. Just run your numbers, and enter
after hours. But if you are not willing to do that, follow it in real
time during the day session for a while to see how it works out.
Or so it seems to me. I would welcome any thoughts.
It may be worth noting that on a very generous S&P continuous contract
this particular system made less than 20 points in just under five years.
Owen Davies
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