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Michael
I do not use low timeframes simply because ASX liquidity so low
providing at best single prices for 1 minute bars, if that much. Thus
it becomes even more crucial that set prices not be used for trades.
So often a price level may not even be traded as it gets gapped over,
or the prices being reported are at the bid price and you have no
guarantee of being filled. To my way of thinking for ASX anything less
than 1 hour bar periods is useless, and then only for the better
liquidity stocks.
perhaps this should move the the amibroker-ts group
--
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:
> 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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> > >
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> > >
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> > >
> > >
> > >
> > >
> >
>
>
>
> 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 NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> http://www.amibroker.com/devlog/
>
> For other support material please check also:
> http://www.amibroker.com/support.html
>
> Yahoo! Groups Links
>
>
>
>
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