[EquisMetaStock Group] Strange result - Monte Carlo Simulation

[Ticiano Rêgo <ticianorego@xxxxxxxxx>]

I am testing one trading system with Monte Carlo Simulation and I have found this:

 

 

Test 01) Buy on the open if open <= ref(close,-1). Explaining better: Buy the next day of the signal if it opens less or equal yesterday´s close.

 

Test 02) Buy on the close. On the same bar of the signal.

 

 

With test 01 TradeSim gave me EXCELENT results with its performace much better than Test 02.

 

The problem is when I include a liquidity filter such as mov(c*v,22,s) > = certain value than Test 02 becomes better.

 

The results shouldn´t remain the same ? Is it possible that considering these securities (the most liquid ones) professionals are deciding on the close ?

 

Super, if it is possible I would like to know your opinion.

 

 

Kind regards,

 

 

Ticiano Rêgo

 

 

 

 

      

     

__._,_.___

Your email settings: Individual Email|Traditional
Change settings via the Web (Yahoo! ID required)
Change settings via email: Switch delivery to Daily Digest | Switch to Fully Featured
Visit Your Group | Yahoo! Groups Terms of Use | Unsubscribe

__,_._,___