|
PureBytes Links
Trading Reference Links
|
I have read many posts about backtesting methods, results, etc. Also, the
values and curses of optimizing. The question I now pose is how valuable
these methods are, and perhaps a reason why some systems do not work in the
real world.
I am a trader, and investing is not my principal activity. My trading
success is dependent on how well I read the market and respond to the
markets moves, either on a day trade basis or a 3-5 day swing trade basis.
Friday, I was following SLB for the entire day, as I had a swing trade
position. The stock was trading in the 64-63 3/4 range. The last trade on
my screen was 64. When I downloaded my EOD data Saturday, SLB had a
closing price of 61 3/16. I inquired to my real time data source, and they
responded with this message:
"The symbol SLB is a composite of the NYSE plus all the regional exchanges.
The
stock closed at 64.00 on the NYSE, but the last quote for the day came from
the Third Market at 16:54 Friday for 61 3/16. If you watch the symbol SLB
N,
you would get NYSE only, and this reflects the 64.00 close."
Now, the question I ask is how accurate can the various backtests be if you
can have 2 13/16 difference in the closing price because of a regional
exchange last price (I have no way of knowing the volume of this last
trade.) It would seem to me that these type of occurances would skew any
results. I will add that today, SLB opened at 64 1/2 which will show a
large gap up when one reads the charts, but actually, based on NYSE results
the open was 1/2 above Friday's close.
How do other traders/investors handle this situation or does anyone factor
these occurances into their formulas?
Al Taglavore
|