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The worse returns with delayed trading is something most people
backtesting system have found. The delay will cause system to provide
bad returns. This is because your signals are based on the closing
price being high for the day of the signal. Thus if you had bought at
open on that day the immediate returns are better.
--
Cheers
Graham
AB-Write >< Professional AFL Writing Service
Yes, I write AFL code to your requirements
http://e-wire.net.au/~eb_kavan/ab_write.htm
On 11/25/05, intermilan04 <intermilan04@xxxxxxxxx> wrote:
> 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
> >
>
>
>
>
>
>
>
> 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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