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[amibroker] Re: Delay in real life vs backtester



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Terry, 

> No kidding. It would be nice if we could Buy at the OPEN after knowing
> what the CLOSE will be!

It wasn't my point though.

I get a good result if I bought at Close on the day the signal came out.
I get a poor result if I buy at Open the next day after the signal has
come out.

I felt it was strange, but maybe that's how it is.

--- In amibroker@xxxxxxxxxxxxxxx, "Terry" <MagicTH@xxxx> wrote:
>
> 
> "Now, I can avoid that by specifying delay=1.
> In that case, my system just doesn't work nearly as good
> as it used to, despite the only difference being I'm
> buying a day after."
> 
> No kidding. It would be nice if we could Buy at the OPEN after knowing
> what the CLOSE will be!
> --
> Terry
> 
> -----Original Message-----
> From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On
> Behalf Of intermilan04
> Sent: Thursday, November 24, 2005 12:04
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Delay in real life vs backtester
> 
> Hi Yuki Taga,
> 
> I'm using EOD from yahoo.com as my data source, so
> it is available after the market has closed.
> 
> Say, on 11/23, after downloading 11/23's EOD at night and running
> backtester, my system has generated a signal.
> 
> With delay 0, the backtester buys at open/high/low/close or 
> whatever I specified...which, in real life, not possible
> because I didn't have the EOD until the market has closed.
> 
> Now, I can avoid that by specifying delay=1.
> In that case, my system just doesn't work nearly as good
> as it used to, despite the only difference being I'm
> buying a day after.
> 
> As I mentioned earlier, I found some Technically Optimized systems
> made by someone else which work wonders with delay=0, but not very
> well with delay=1.
> 
> I guess a solution would be to have a real-time data feed and
> constantly look for signals intraday...
> 
> Regards,
> 
> intermilan04
> 
> --- In amibroker@xxxxxxxxxxxxxxx, Yuki Taga <yukitaga@xxxx> wrote:
> >
> > Hi intermilan04,
> > 
> > Thursday, November 24, 2005, 4:26:01 PM, you wrote:
> > 
> > i> Hi all,
> > 
> > i> I'm quite new to AmiBroker but I'm having a delay problem with the
> > i> backtester.
> > 
> > i> Say I have a very simple system like the following:
> > 
> > i> Buy = Cross(30, RSI());
> > i> Sell = Cross(RSI(), 30);
> > 
> > i> I'm trying to buy a stock when RSI falls below 30, and sell when
> RSI
> > i> goes above 30.
> > 
> > Okay, but RSI() has a look back period that is adjustable.  You need
> > to set it.  What RSI do you want to use?
> > 
> > You might try Buy = Cross(30, RSI(14)); -- for example.
> > 
> > i> When I run the backtester with Buy/Sell delay 0, the Backtester
> buys
> > i> stocks at the open, on the day where the CLOSE price would signal
> the
> > i> system.
> > 
> > You can set Buyprice = Close;
> > 
> > You can also SetTradeDelays (see help on this).
> > 
> > Yuki
> >
> 
> 
> 
> 
> 
> 
> 
> 
> Please note that this group is for discussion between users only.
> 
> To get support from AmiBroker please send an e-mail directly to 
> SUPPORT {at} amibroker.com
> 
> For other support material please check also:
> http://www.amibroker.com/support.html
> 
>  
> Yahoo! Groups Links
>






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