|
PureBytes Links
Trading Reference Links
|
Hi Fred,
I've always considered that difference as "profit".
Except when it isn't, of course. ^_^
Yuki
Thursday, August 24, 2006, 9:53:36 AM, you wrote:
F> There are a variety of ways to look at this ...
F> To me the difference between yesterdays close and todays open is
F> slippage and the larger the imbalance of orders in the direction
of
F> your entry will only serve to widen that difference.
F> --- In amibroker@xxxxxxxxxxxxxxx, "intermilan04"
<intermilan04@xxx>
F> 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"
F> 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
F> it's not
>> > the open price it will be some "surprise" like Iran or N. Korea
F> drops a
>> > nuke or something much simpler like your internet connection is
F> down
>> > when you need to trade or your take a vacation. The backtester
F> never
>> > takes a vacation and never has computer problems and
F> 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
F> [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
F> 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
F> compounding
>> > of 4% vs. 3.7% 240 times. (approximately the number of full turns
F> I
>> > got with my stocks over eight years--"back test" data- no way
F> real
>> > life would hold up.). We get 1.04^240 vs. 1.037^240 for 12,246
F> 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
F> a
>> > backtested system, you will be more aware of things to monitor to
F> 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
F> 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
F> [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
F> your
>> > > system if you do not get the "OPEN".
>> > >
>> > > First run the cases where the High is greater than the Open,
F> 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.
F> 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
F> 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
F> the
>> > > backtested results. Obviously this depends on what your system
F> is,
>> > but
>> > > this is what I get with my "Buy on a pullback" system. If you
F> 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
F> 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
F> not
>> > let
>> > > your order be "seen" or of course it will fill and then the
F> price
>> > will
>> > > drop back a few cents. You have to let the market wander up and
F> then
>> > > jump in. Better to just try for "Open" and see that your system
>> > makes
>> > > money even if you miss the Open.
|