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> > He said the system uses a built-in
> > Tradestation money management stop of $1500.
> This is the part that I don't understand. Why not hard-code the
> stop into the system and thereby avoid any chance of bouncing-tick
> fakery?
There's no fakery in the TS built-in MM stops, with the caveat
mentioned below. They work the same way your own coded stops would
work, except they take effect immediately for positions you enter on
a stop intra-bar. (Self-coded stops could only take effect on the
next bar, when your system sees you're in a position and knows the
entry price.)
The problem comes when you have more than one stop in a bar. In the
case Dennis mentioned, there was an entry stop AND the MM stop. With
more than one stop in a bar, the order of price action within the bar
can affect the end result. Did the entry price get hit first and
THEN the MM stop, as happened in realtime, or did the MM-stop price
get hit *BEFORE* the entry price, as happened in historic simulation?
This happens ANY time you have more than one stop in a bar. It's an
unavoidable artifact of trading with only O,H,L,C information. TS's
"guess" at the price-order is as good as any, given what it has to
work with. You need intrabar data to solve the problem. I believe
TS2k can do that.
Now you could claim that coding your own MM stops avoids this problem
since, as I said, your system couldn't enter its MM stops until the
next bar. That means your MM stops wouldn't be in effect on the same
bar as the entry, so there's no confusion. But it ALSO means you're
"naked" on the entry bar, with NO MM stop. That's probably not what
you want, given that the position DID get stopped out.
Gary
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