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Wouldn't it be great to be able to measure quantity and quality of
interesting posts to various lists based on the relative availability of
"one of the members".
Can we analyze this technically? <G>
Actually, I hear he's doing a computer room remodel. I probably speak for
alot of us when I say that I hope he hurries back, if only for the
entertainment.
Steven Buss
Walnut Creek, CA
sbuss@xxxxxxxxxxx
"There's nothing more practical than good theory."
-----Original Message-----
From: Bob Fulks <bfulks@xxxxxxxxxxxx>
To: ati@xxxxxxxxxx <ati@xxxxxxxxxx>
Date: Thursday, June 25, 1998 12:55 PM
Subject: Stops in TradeStation/SuperCharts
>Since the list has been so slow lately, I thought I would post something
>controversial. I know it is a favorite topic of one of the members of the
>list...
>
>Someone on the Omega list recently asked about the use of stops in
>TradeStation during backtesting. I didn't really understand it so spent
>some time looking into the issues and summarized my thoughts in a post.
>
>I wondered if others agreed with my conclusions?
>
>Thanks.
>
>--------------
>
>This post discusses the issues related to backtesting in TradeStation &
>SuperCharts with the built-in stops.
>
>The key thing to remember is that Omega treats historical bars in an
>"interesting" way. Since they only have OHLC data on each bar, they have to
>assume certain things about the sequence of the price within the bar when
>evaluating stops. This is well described in the on-line help
>("Understanding How TradeStation Simulates Market Activity with Historical
>Data").
>
>This causes more serious errors if the duration of a trade is less than a
>few bars since the pattern of the price within each bar then becomes very
>significant in evaluating the stops. But if the duration of a trade is at
>least several bars long, then it becomes less significant since the pattern
>of prices within a trade is more readily apparent. The extreme case is tick
>data which replays what happened in real time (including bad ticks!). But
>you will get pretty good results if the duration of a trade is, say, over
>five bars long. So daily bars are pretty good if your trade last five or
>more days; one minute bars are good if your trades lasts five or more
>minutes, etc.
>
>This is an emotionally charged issue with many people. Needless to say,
>this is a "simulation" of the true facts (as Omega clearly states). Using
>pure tick data would be perfect but not too practical for long-term testing
>with TradeStation (13000 bar limits, etc.) But since the data in the future
>will never exactly repeat the data in the past, and since you are only
>trying to gain confidence in the ability of your system, it isn't all that
>bad a "simulation" if you understand the constraints.
>
>In the extreme case where the trade is "zero" bars long, (enter and exit on
>the same bar), you get ridiculous results which have been used by
>unscrupulous people to make systems they sell look very good.
>
>Unfortunately, it also causes the historical ("simulated") trades to differ
>from the real-time trades which can be very disconcerting if you don't
>understand what is happening. (Trades seem to "appear" or "disappear" when
>you switch from using real trades on real-time tick data to using
>"simulated" trades on historical data.)
>
>This is my understanding. Perhaps others will correct any of my
>misunderstandings.
>
>Bob Fulks
>
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