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I am by no means one of the big fish in the market, but I have not
experienced a single occassion of slippage. The "opening price" that
shows up on Yahoo Finance is the exact price, down to cents, that I
traded with. I place orders overnight so internet connection is not
my issue; the order is already handled by my broker in pre-market
awaiting the opening bell.
intermilan04
--- In amibroker@xxxxxxxxxxxxxxx, "Terry" <MagicTH@xxx> wrote:
>
> So, this is a good lesson in slippage. Slippage WILL HAPPEN. If it's not
> the open price it will be some "surprise" like Iran or N. Korea drops a
> nuke or something much simpler like your internet connection is down
> when you need to trade or your take a vacation. The backtester never
> takes a vacation and never has computer problems and already "knows"
> about all the wars, oil spills, etc ;-)
>
> (Not preaching to you Monty, just taking the opportunity and your
> research to make a point.)
> --
> Terry
> -----Original Message-----
> From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On
> Behalf Of the_bear_98
> Sent: Tuesday, August 22, 2006 16:06
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Buying at open -- In Real Life
>
>
> 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@> 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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