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Terry and Graham,
Thank you very much. That makes sense, I have to make a system that
works with delayed trading so I can use it IRL.
intermilan04
--- In amibroker@xxxxxxxxxxxxxxx, Graham <kavemanperth@xxxx> wrote:
>
> 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@xxxx> 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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