|
PureBytes Links
Trading Reference Links
|
Dennis wrote....
<snip>
There
is no reason the dates and times of publicized events can't be saved in
an ascii file and used as data(x) to make your system go flat until
after the event. Backtesting such a system is a problem because it can
be hard to find the dates and times of reports in the past but it's no
problem going forward.
>>>
I do it in a function file in EL or in a system file with GVdll functions.
All the dates are in an array. The array
is declared with extra places so I can add to it. Most dates I can
figure out and add to the array before the year begins.
Past dates are closed off with curly brackets after the event but
can be reopened for backtesting. However, when doing system
backtesting I prefer to not close off results to any days.
Most dates are there because they tend to historically exhibit behavior
that defies the capabilities of my indicators. (irrational to my system).
That's right. my system's not perfect. It's only as perfect as I can get it.
Also on the imperfect list are quotes, brokers, and floor traders.
I try to add dates that have a tendency to manifest imperfection
in the worst way.
Some are there simply because I know I won't want to trade that day
(vacations etc.). Some are forcasted critical y2k banking dates. etc..
I'll ride with Bob F's autopilot analogy...
dbs
|