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Al Venosa wrote:
>In the backtest
>of any mechanical system that actually trades on the next day's open
>from today's signal, if the signal depends on TODAY'S cross of x over y,
>and if you set your delays to 0, then AB will buy at TODAY'S open
>(rather than tomorrow's) even though the cross may have occurred several
>hours later than the open. So, you will always be buying after the fact
>at a lower price, which cannot occur in real life.
>
Ah! That makes sense, of course. I must have missed something. In the
absence of BuyPrice and ShortPrice statements, I didn't realize the
system was entering on the open instead of ASAP after the signal was
logged. Thanks for the clarification.
Owen
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