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To complete my answer:
Note how whenever you are in a long trade, the daily
result is higher, and whenever you are in a short
trade the daily result is lower (worse in both cases).
This goes along with my assumptions if you are using
stop orders (as you state) on your system.
The results on the daily chart are more accurate. If
you had intraday data and you did the same for 60
minute bars, you would probably end with different
(more accurate) results as well.
H
--- Howard Jackson <hrjf4@xxxxxxxxx> wrote:
> The only thing I can come up with (with the
> information you are giving us) is gap up/gap down
> bars.
>
> Suppose you have a weekly bar like this:
> Open 80
> High 100
> Low 70
> Close 90
> Then you have an order to buy at 86.25 stop. On the
> weekly bar, you would be filled at 86.25 (or the
> nearest valid price).
> Now when you do all the same calculations and you
> apply the system to a daily chart (like you are
> doing)
> and we have the following data:
>
> Monday
> Open 80
> High 84
> Low 78
> Close 82
> Tuesday
> Open 88
> High 92
> Low 75
> Close 91
>
> We can stop right here and you will see that your
> buy
> stop order will not be filled on Monday, but will be
> filled 'at the first price above 86.25 available',
> which is Tuesday's open at 88. So your fill would be
> on the Tuesday at 88$. Quite different from the fill
> on the weekly chart.
>
> This, by the way, is one of the problems with the
> bar
> assumptions that ts and everyone takes when looking
> at
> bars. The first (often unstated) assumption is that
> "the market traded continuously at every valid price
> within a bar" wich is obviously not true almost 100%
> of the time.
>
> H
>
> --- "Klinchik, Vitali" <VKlinchik@xxxxxxxxxxxxx>
> wrote:
> > While building system based on a weekly bars,
> which
> > tested well,
> > I wanted to optimize my exits based on a daily
> price
> > behavor.
> > So I calculated my entry price by building
> syntetic
> > weekly bars,
> > which was the same entry price as for actual
> weekly
> > bars, but
> > the system performance was much worse.
> > When I looked at the Strategy performance report,
> I
> > realized that
> > actual entry price on both systems on some trades
> > was different.
> > I was using stop orders.
> > Exits are the same on both systems.
> >
> > Using ProSuite 2000i build 768 (sevice pack 4)
> >
> > Could anybody expain to me, how actual entry is
> > generated in TradeStation
> > and why there is such a difference in actual entry
> > price between two
> > systems.
> >
> > Here is an example:
> >
> > Trade Calculated entry price
> Actual
> > entry price
> > type Same for weekly and daily
>
> > Weekly
> > Daily
> > ------ --------------------------------
> > ----------- ----------
> > 1. L 10.6250 10.63 10.73
> > 2. S 64.0630 64.00
> > 60.13
> > 3. S 87.5630 87.50 86.25
> > 4. S 92.1250 92.13 90.06
> > 5. S 99.8750 99.88 96.44
> > 6. L 89.6880 89.75 89.75
> > 7. L 87.3130 87.38 88.25
> >
> >
> > Thanks a lot.
> >
> >
>
>
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