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----- Original Message -----
From: "jack zaner" <jzaner@xxxxxxxxxxxx>
To: "Sudhir Menon" <sdhrmenon@xxxxxxxxx>; <omega-list@xxxxxxxxxx>
Sent: Wednesday, October 20, 2004 8:58 AM
Subject: Re: Backtest ideas ?
> 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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