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I trade a same day signal too at 10 minutes before close. What Al meant was
your system gets it's signal 5 minutes before close (or even 15), BUT you
are buying at the OPEN of the day. That was 7 hours ago which you obviously
can't do. You must set trade delays to 1,1,1,1 to trade the NEXT DAY'S OPEN.
--
Terry
From: Owen Davies <owen5819@xxxxxxxxxxxx>
Reply-To: amibroker@xxxxxxxxxxxxxxx
Date: Thu, 04 Nov 2004 21:25:54 -0500
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Re: Amazing backtest ==> Automatic/program trading
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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