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Personally I prefer to backtest using Buyprice = H and Sellprice = L
regardless of how the system is to be traded.
This way if the system works OK on backtest I know it was done on
worst case and I should be able to do better in real life. Too often i
have found a system backtest based on possible entry/exit prices does
not preform in real time trading due to various reasons like slippage.
--
Cheers
Graham
AB-Write >< Professional AFL Writing Service
Yes, I write AFL code to your requirements
http://www.aflwriting.com
On 26/03/07, Michael.S.G. <OzFalconAB@xxxxxxxx> wrote:
> Just to add to this:
> SetTradeDelays(1,1,1,1); are the MINIMUM values for backtest framework.
> Stops can exit same bar as signal in backtest framework. But it's
> generally not recommended or even possible for all people.
> (eg You have setup with your broker "price limits" for the stock
> purchased. This is dependent on broker services, And should be
> considered a Bonus, Not a standard.)
>
> Not all "Delayed" data comes with O/H/L/C. eg Quotetracker delayed
> quotes (5min) populates OHLC values with "Last sale" price.
>
> ATB
> Michael.
>
>
> Michael.S.G. wrote:
> >
> > I'm noodling around with some *backtest framework for system comparison.*
> >
> > If one were running an EOD system. When a signal is generated, The most
> > reasonable buy/sell price would be the next bar's open price. We can't
> > realy expect to "Get" the High or Low, And the Close for the next day is
> > not appropriate either.
> > As such, the following default setting to all *EOD* backtest should be
> > reasonable....
> > SetTradeDelays(1,1,1,1);
> > BuyPrice = Open;
> > SellPrice = Open;
> >
> > As per Richards help, I figure delayed quotes (5/15/60min etc) should be
> > handled the same way as EOD.
> > As such, the following default setting to all *DELAYED* backtest should
> > be reasonable....
> > SetTradeDelays(1,1,1,1);
> > BuyPrice = Open;
> > SellPrice = Open;
> >
> > (If using any timing below 5min, Then getting order to market by the
> > next bar may not be possible!)
> >
> > As Realtime data is sent in Ticks containing the price in the "Close"
> > field, Buy/Sell price must be "Close" value.
> > As such, the following default setting to all *REALTIME(TICK)* backtest
> > should be reasonable....
> > SetTradeDelays(1,1,1,1);
> > BuyPrice = Close;
> > SellPrice = Close;
> >
> > (Im not realy sure how realtimers calc their entry price/delays, Because
> > I doubt you could get an order to market "In the next Tick!")
> >
> > Any comments would be warmly welcome.
> >
> > ATB
> > Michael.
> >
> > (I'd like to post a common framework for people to reasonably compare
> > trading systems if there is enough people interested)
> >
> >
>
>
>
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