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Hi intermilan04,
Most systems will not backtest as well with a delay; I think most
people would be in agreement on that. There is no holy grail,
either.
But try this ...
Take your best EOD systems, and don't enter delay = 1. Try delay =
3, or 4, or 5, or even longer. Give the fast guns the chance to get
nervous and be wrong (or the scalpers a chance to take their small
profits), and give yourself the chance to play the game the way the
people who really move the market play it.
(Hint: They have a problem called too much money. If they spend it
all at once, they distort the market to their own disadvantage. If
they spend it too slowly, they never finish the job. So they come in
and create what should be an obvious "event", then they go and hide
for a few days or even a few weeks, so the "breakout" will "fail".
But they come back, usually about a day or so after your attention is
no longer on that issue any longer.) ^_^
So try taking your EOD signals later. Same thing with exits,
especially after a nice uptrend. Dip buyers will almost always be
there to give you a better price a few days or a week after your
system says exit.
A computer can be a great assistant. But you still have to think
like a trader. And a computer can easily tempt you to follow more
markets than your brain can really handle. IMHO, the more you focus,
and patiently wait for "events" in what you will forever remain
focused on, the better you will trade.
Yuki
Friday, November 25, 2005, 4:03:48 AM, you wrote:
i> Hi Yuki Taga,
i> I'm using EOD from yahoo.com as my data source, so
i> it is available after the market has closed.
i> Say, on 11/23, after downloading 11/23's EOD at night and running
i> backtester, my system has generated a signal.
i> With delay 0, the backtester buys at open/high/low/close or
i> whatever I specified...which, in real life, not possible
i> because I didn't have the EOD until the market has closed.
i> Now, I can avoid that by specifying delay=1.
i> In that case, my system just doesn't work nearly as good
i> as it used to, despite the only difference being I'm
i> buying a day after.
i> As I mentioned earlier, I found some Technically Optimized systems
i> made by someone else which work wonders with delay=0, but not very
i> well with delay=1.
i> I guess a solution would be to have a real-time data feed and
i> constantly look for signals intraday...
i> Regards,
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