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Hi Graham,
Thanks for your reply.
As forex is a 24 h market I would expect the daily close and next open
to be recorded at the same time (e.g. 00:00 GMT) and therefore be the
same. The question with the amiquote source is: is it accurate and if
so the close and open times must be different - what times are they?
Clearly a 7 pip trade is too small after commission however, here is a
numerical example of the power of this edge (if real):
A long only daily system, taking decisons on close, averaging 100
trades per year at 60% win/loss and average gain/loss each 40 pips:
Expectancy = ( 0.6 * 40 ) - ( 0.4 * 40 ) = 8 pips/trade (800 p.a.)
Now, using the edge. Imagine we find out that the close is recorded
at 23:00 GMT and open at 00:00 GMT. As it is a long system we want to
buy low and sell high therefore make all buys at 00:00 and all sells
at 23:00 so we add the 7 pip average edge to all trades irrespective
of holding period. The expectancy is now:
Expectancy = ( 0.6 * 47 ) - ( 0.4 * 33 ) = 15 pips/trade
Therefore DOUBLING the system profit. Reverse the idea for shorts. I
have a simple system you could plug into AA to illustrate with real
numbers. Annual return can change from 30% pa to 100% p.a. per contract!
So the part that still stumps me is finding the times the open and
close data is recorded for the amiquote default forex source. Would
Tomaz have this info?
Kevin
--- In amibroker@xxxxxxxxxxxxxxx, Graham <kavemanperth@xxx> wrote:
>
> that would depend on whether you get filled at the correct time and if
> the spread is in your favour, and the commission slippage you pay (can
> be +/- 3 pips or whatever)
>
> --
> 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 2/5/06, kevinoversby <kevinoversby@xxx> wrote:
> > I found that typically in a given period, over 80% of daily bars open
> > lower than previous close by an average of 7 pips. When testing high
> > frequency daily systems, being in sync with this "edge" can turn a
> > good system into a great one, and conversely a disaster if out of
sync.
> >
> > The question is: is this a real effect that can be exploited? What
> > times are the open and close of the daily bars recorded? Are they
> > using bids or asks?
> >
> > If it is a real condition let's exploit it!
> >
> > Thanks
> >
> > Kevin
> >
> >
> >
> >
> >
> >
> >
> > 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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