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Terry, Yes, it looks like a "minutes" type test, but actually was
about 750 trades over 8 years with an average holding time of 6.6
days.
another way to look at the math would be to simply do the compounding
of 4% vs. 3.7% 240 times. (approximately the number of full turns I
got with my stocks over eight years--"back test" data- no way real
life would hold up.). We get 1.04^240 vs. 1.037^240 for 12,246 times
your $ vs. 6,122 times your money, or 50% less with "slippage" of
just 0.3%. I think as long as you can look at things like this in a
backtested system, you will be more aware of things to monitor to see
that you are getting close to what you backtest.
Thanks
Monty
--- In amibroker@xxxxxxxxxxxxxxx, "Terry" <MagicTH@xxx> wrote:
>
> 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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