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No, that makes sense. You are getting the benefit of opening gaps. This
can be done, sort of, with a real-time feed. You can get this free with
QuoteTracker. Choose Mixed EOD/RT data. Now you can watch your EOD
signals change with every tick during the day. At 3:55 or as late as you
can, you can trade the Close or close to it. Some stock can be even
bought after the close, such as e-mini's
--
Terry
-----Original Message-----
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On
Behalf Of intermilan04
Sent: Thursday, November 24, 2005 13:55
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: Delay in real life vs backtester
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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