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There are a variety of ways to look at this ...
To me the difference between yesterdays close and todays open is
slippage and the larger the imbalance of orders in the direction of
your entry will only serve to widen that difference.
--- In amibroker@xxxxxxxxxxxxxxx, "intermilan04" <intermilan04@xxx>
wrote:
>
> 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@> 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;
> > >
> > > _____
> > >
> >
> >
> >
> >
> >
> >
> >
> > 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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