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> I'm glad to see someone else mention the t+3 clearance issue.
I'm amazed that it never seems to get a mention.
Sadly I can't see that any daytrader could or would use AB as a
trading platform (unless they have AB >> QT >> a broker other than AB.
I guess they use AB for backtesting and go to another platform for
trading OR sit in the chair between an AB screen and a
broker/platform screen.
For myself, I will have to start to look at available platforms at
some stage - I am reluctant because of the energy I have invested in
AB and also I don't want to code using online platforms (too easy for
the owner to pinch my code/systems).
> My principal use of AB is to backtest trading strategies and there
>is
> no way to take this settlement time into account during a backtest.
Minimizing turn around time between trades is a rule in
my 'essentials' list e.g for short term EOD trade, on the close, I
can get out a little early and get back in next trade the same day
(at Options Express).
I do account for it in my system evaluation (I will have to get on my
expectancy soapbox again).
a) use expectancy% as the baseline metric (derived from PowerFactor)
b) use expectancy * ave time in trade to standardize as PA%
(convert to annual return)
c) if I have to wait for the next trade of for technical reasons I
can't go straight back in, add the average turn around time to ave
time in trade.
Expectancy/PowerFactor/BiniomialSimulation is a beautiful thing - I
hope it is good and the mathematicians approve of it.
Even Graham's exposure can be easily managed as above (I tend to work
everything out my own way instead of struggling to come to grips with
other people mysterious or hidden logic (sorry Graham - I wanted to
talk to you about exposure but couldn't fit it in).
brian_z
--- In amibroker@xxxxxxxxxxxxxxx, "danielwardadams"
<danielwardadams@xxx> wrote:
>
> I'm glad to see someone else mention the t+3 clearance issue. I
> primarily trade in IRAs in which the use of margin isn't allowed.
> Consequently, I always have to wait the 3 day settlement time
before
> my funds from a long sell (can't short in IRAs either) are
available
> to trade again. In "Cash" accounts and with the use of margin this
> isn't an issue as the funds can be reused immediately.
>
> My principal use of AB is to backtest trading strategies and there
is
> no way to take this settlement time into account during a backtest.
> Sometime ago (a year maybe) after I brought this to Tomasz's
> attention, he said he thought adding this settlement time lag to
the
> backtester would be a good thing and thought it might give AB a
> competitive edge since to his knowledge no other backtesting
software
> handled it either.
>
> At the time, I told him I always just attempted to achieve maximum
> total returns in my backtests knowing full well I could never
achieve
> them because I will always have a portion of my portfolio
unavailable
> for trading.
>
> To my knowledge this issue has never been addressed and I don't
know
> where it fits in the priority of enhancements (?).
>
> Dan
>
> Note: I dont think the Broker Feed => Medved QT => Amibroker
solution
> to genericizing the plugin issue is a bad idea either.
>
>
> --------------------------------------------------------------------
-
> Re your point on scalping.
>
> > There are people who are doing scalping in an IB--->QT
environment.
> >I am
> > guessing they are not suffering any substantial efficiency losses
> as they
> > are quite successful.
>
> Possibly I am mis-understanding something about the way the funds
> from intraday trades are cleared but if I have take 1% on an
intraday
> trade and then have to wait t+3 for the funds to be available
haven't
> I reduced my returns to 1%/3?
>
> If that isn't the case (I don't have to wait 3 days to put the
closed
> intraday trade funds back to work) then I would love to go to IB
> (based on the number of others who use it and the body of published
> work that will help me make the transition to AT).
>
> brian_z
>
> --- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@> wrote:
> >
> > Rakesh,
> >
> > I am with you on everything there (happy to pay for ad free
> > enviornment etc).
> >
> > As per your previous comment:
> >
> > > > > A solution that covers Broker Feed---->MedVed QT------->
> > >>AmiBroker
> > > > can cover
> > > > > the needs of a large portion of the universe of AB clients.
> >
> > Re your point on scalping.
> >
> > > There are people who are doing scalping in an IB--->QT
> environment.
> > >I am
> > > guessing they are not suffering any substantial efficiency
losses
> > as they
> > > are quite successful.
> >
> > Possibly I am mis-understanding something about the way the funds
> > from intraday trades are cleared but if I have take 1% on an
> intraday
> > trade and then have to wait t+3 for the funds to be available
> haven't
> > I reduced my returns to 1%/3?
> >
> > If that isn't the case (I don't have to wait 3 days to put the
> closed
> > intraday trade funds back to work) then I would love to go to IB
> > (based on the number of others who use it and the body of
published
> > work that will help me make the transition to AT).
> >
> > brian_z
> >
> >
>
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