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Hi Graham,
I agree that it provides a good worst case scenario and safety net for
slippage.
But what about backtesting Intraday data?
ie When I look at the asx data from quotetracker, There is no H/L.
KR
Michael.
Graham wrote:
>
> 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 <http://www.aflwriting.com>
>
> On 26/03/07, Michael.S.G. <OzFalconAB@xxxxxxxx
> <mailto:OzFalconAB%40bden.org>> 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)
> > >
> > >
> >
> >
> >
> > Please note that this group is for discussion between users only.
> >
> > To get support from AmiBroker please send an e-mail directly to
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> >
> > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
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> >
> > For other support material please check also:
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> >
> > Yahoo! Groups Links
> >
> >
> >
> >
>
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