[amibroker] Difference between EOD and Intraday to determine when LOW occurs.

["cipherscribe" <adrian.mollenhorst@xxxxxxxxx>]

Hi Everyone,

I am using EOD data to trade daily. If I get a signal, I enter a
stop-limit order the following morning with IB that gets executed only
if the high of today equals or exceeds yesterday's high:

Buy = H>=Ref(HHV(H,1),-1);

I have noticed that when yesterday's high gets taken out, price can
take a breather and decline, before increasing again - but this is not
always the case, and a few of the best trades are when stocks simply
continue to climb.

Wanting to take advantage of the former, but not miss out on the
latter, I have been thinking about entering some stop limit orders
with a GAT (good after time), so I can scale in throughout the day,
irrespective of the price action other than at some point it has taken
out the high of yesterday.

However this is somewhat difficult to backtest, since EOD data cannot
state when the low occurred - before or after the breach of
yesterday's high. So I am hesitant to assume the complete position is
just some average between the high and the low.

For those statisticians out there, would it be safe to assume that 50%
of the lows occurred on either side of the high? If so, then I can say
that 50% of the trades had an average entry price of (H+L)/2 and 50%
of trades had an average entry price of (H+O)/2. Or there could be a
third option, prices after yesterday's high may not decline, so the
average of my timed entries could be (H+Ref(HHV(H,1),-1))/2....

Or is it necessary to look into intraday data to track the price data
of those equities that have been signaled by my system?





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