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Sometimes large funds are in a hurry of pricing in any change made. It's logical that buying atc maybe is better than ato next day, when there's something "good" going on. And sometimes large caps can't hide.
But there is another explanation. If you're using tradesim with the parameter 'reject trade if position size is greater than ..." then buying ato means that you (before the market closes) buy stocks which are liquid enough. Some of them, may be liquid because of a hurry some guys have to get into the stock. I don't know if I get this thing perfectly understood, so I'll give you an example:
Let's say that your system says "buy ato the xyz stock" and that the mov(v*c,22,s) is somewhere down for e.g. $1m.
Then the next day you buy ato, and it happens that there is a volume explosion, let's say $5m. By having set the "reject trade etc" filter, what you're really saying is "hey, if we're going to have an unusual big volume, let's buy ato, BEFORE we even know it". So this way, you're going to have trades that will be much better.
Don't know if this helps, what's more, these are simply some thoughts.
Regards,
mc
--- In equismetastock@xxxxxxxxxxxxxxx, Ticiano Rêgo <ticianorego@xxx> wrote:
>
> 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
>
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