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Re: Resolution and backtesting - Validity of backtesting and monitoring intraday systems in real time ?


  • To: Gary Fritz <omega-list@xxxxxxxxxx>
  • Subject: Re: Resolution and backtesting - Validity of backtesting and monitoring intraday systems in real time ?
  • From: Synergy <Synergy@xxxxxxxxxxxxxxxx>
  • Date: Tue, 30 Sep 2003 11:02:00 -0700

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Thank you Gary,
Your answer was luminous to me , exactly what i was looking for .
I am really just a beginner in programming and your suggestion is so 
evident and clear that i feel stupid.
I will follow that idea and see what happens.
Thank's again for your time and very useful help.
Sincerely
Philippe

Gary Fritz wrote:

Now problem is  : if a position is to be either exited, reversed  or
entered within a 30 minutes bar, the system need to calculate *at
that time* [[ risk & size of new trade ]] 


If you are going to act on the close of the next bar, there's no 
real way for you to know in advance -- because you don't know 
what the price will be at the close.  You can only know that when 
the bar closes and your system logic runs.

But you say you're going to enter the new position *within* the 
bar.  That means you must be setting an order at some price on 
the previous bar, correct?  If so, then you KNOW what price you 
will be entering at -- your stop/limit price -- so you can use 
that price to determine your risk & size, can't you?

Gary