|
PureBytes Links
Trading Reference Links
|
If I have a trading system such as this:
Buy = Cross( Close , EMA(Close, 10) );
Sell = Cross( EMA(Close, 10) , Close );
and my buy and sell price settings are set to "Open" with Buy Delay =
0, I have an untradeable system because the closing prices are not
known until after the trade has executed (open). If backtested, AB will
give unrealistic returns because the system is allowed to peek into the
future (knowing the closing prices at the open). Shouldn't AB detect
this sort of situation and flag the user? Would this be a worthwhile
feature request?
|