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Good
point. I need to determine how often my trades would be out-of-sync with my
mechanical rules. If it happens rarely, I'm still okay. But if it happens
frequently, my backtested results cannot be trusted.
<SPAN
class=172340923-31102002>
The
mutual fund family I am using is Rydex. They have an SP500 fund that trades
twice a day at 10:45 and 3:55. So I could reverse my posture the next morning if
necessary. But I do not know how this would affect system performance. Something
to think about.
<SPAN
class=172340923-31102002>
<SPAN
class=172340923-31102002>-Steve
<FONT face=Tahoma
size=2>-----Original Message-----From: dingo
[mailto:dingo@xxxx]Sent: Thursday, October 31, 2002 5:50
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker]
Backtest: EOD. Trade: almost EOD.
What
plan do you have when you zig and the market zags in the last 15
minutes? Then you're completely out of sync. Do you close the position
if there was one and wait for the next signal? Do you hang on
and grit your teeth? What if you were supposed to open a position but
didn't?
<FONT color=#0000ff face=Arial
size=2>
<FONT color=#0000ff face=Arial
size=2>d
<FONT
face=Tahoma size=2>-----Original Message-----From: SteveDavis
[mailto:sdavis@xxxx] Sent: Thursday, October 31, 2002
2:07 PMTo: amibroker@xxxxxxxxxxxxxxxSubject:
[amibroker] Backtest: EOD. Trade: almost EOD.
My mechanical
system generates buy/sell signals using SP500 EOD data and is backtested
assuming the trade is made on the same day before the final closing price is
known.
<SPAN
class=544235218-31102002>
I am considering
trading the system with mutual funds by obtaining the current SP500
price at 3:45 with the assumption that the prices will not move too
much during the last 15 minutes of the day.
<SPAN
class=544235218-31102002>
<FONTface=Arial
size=2>Does anyone have comments on the
wisdom of this approach?
<FONTface=Arial
size=2><SPAN
class=544235218-31102002>
It would be nice
to somehow backtest the system by injecting noise into the closing prices. I
want to simulate slightly inaccurate closing prices to generate buy/sell
signal, but I must use the actual closing prices for the profit/loss
calculations. I'm not entirely sure how to do this.
<SPAN
class=544235218-31102002>
Any advise or
comments would be appreciated.
<SPAN
class=544235218-31102002>
<SPAN
class=544235218-31102002>Cheers,
<SPAN
class=544235218-31102002>-Steve
<SPAN
class=544235218-31102002>
<SPAN
class=544235218-31102002> Post
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