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Sometimes you have to pay a bit for the truth. One cannot experience all
the twists and turns of actual trading even by thorough backtesting alone.
Your problem is especially difficult be cause it lies in the execution area,
which TS barely addresses. You may have to dip your toe in the water with a
small amount of money and give her a whirl. Until then, all you've got are
educated guesses- - -which is all any of us have with simulation.
Regards, Jack.
----- Original Message -----
From: "Sudhir Menon" <sdhrmenon@xxxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Wednesday, October 20, 2004 4:20 AM
Subject: Re: Backtest ideas ?
> Hi all,
>
> First of all thanks for your inputs on my question.
> Here is something I will like to add to this.
>
> The forex strategy I am working is primarily for
> Scalping which runs on 15 min bar. Since it is for
> scalping I dont want to put generic slippage of 1 tick
> or two ticks. (If I add that then my system will
> become unprofitable ) I want system to calculate
> prices for entry and exit and want to stick to it.
>
> Now as I explained there are cases where price is
> reached but maybe only one cntract is traded and in
> backtest I am shown as possible fill but that may not
> happen in reality. So I want to test in such a way
> that at exit if 1 pip is crossed over I presume I got
> that exit price else I presume I did not get the price
> and try to exit on next bar.
>
> Once I know how to test this I will do two tests
> one in a normal way - without any cross over ( Which
> shows good profit now ) and one in a way I am
> searching - i.e. by checking the actual high or low
> crossed over atleast by one pip. If this system also
> shows profit then my reasoning is that the profit I
> can expect is the airthmatic average of both above.
>
> Does that make sense ?
>
> Regards,
>
> Sudhir
>
>
>
>
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