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Monty,
I really like your analysis and thinking on this test, but I
respectfully submit that if your system drops 50% of it's profits for a
nickel change is price, something else is wrong -- or you are trading in
minutes and not days ;-)
--
Terry
-----Original Message-----
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On
Behalf Of M Webb
Sent: Sunday, August 20, 2006 12:02
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Re: Buying at open -- In Real Life
You might want to do a sensitivity test to see what happens to your
system if you do not get the "OPEN".
First run the cases where the High is greater than the Open, and you
fill at some possible price within that range, and then run the cases
where the Low is lower than the Open and you get that price. Here is an
example of the code. This is not "peeking", it is allowing the price to
wander up or down, and you are getting filled at some % away from the
Open. I used to think that fills could be both over and under the "Open"
by a few cents and over the long run, it should average out to the
backtested results. Obviously this depends on what your system is, but
this is what I get with my "Buy on a pullback" system. If you get fills
more than a few tenths of a percent away from the Open, even if they are
on either side, your system can drop like a stone. Yes there is a magic
zone where if you could always buy at the nanosecond the stock trades a
few cents over the Open you make even more money- BUT you can not let
your order be "seen" or of course it will fill and then the price will
drop back a few cents. You have to let the market wander up and then
jump in. Better to just try for "Open" and see that your system makes
money even if you miss the Open.
--
Monty
Buy = Ref(allgood,-1)
AND O/L>=Varopendrop;
BuyPrice = O/Varopendrop;
_____
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