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I just re-read this and my answer needs clarification. What I'm trying to
say is that a system that tests just touching a price is different from a
system that crosses the price. Two different performance summaries will
result. Significant differences- I don't know. But they test different
senarios.
Regards, Jack.
----- Original Message -----
From: "jack zaner" <jzaner@xxxxxxxxxxxx>
To: <omega-list@xxxxxxxxxx>; "Alex Matulich" <alex@xxxxxxxxxxxxxx>
Sent: Monday, October 18, 2004 12:25 PM
Subject: Re: Backtest ideas ?
> Yep, quite true, it would give him what he wants- - but it will also
> eliminate all those trades that just touched the price and would have been
> executed. But you can't have it both ways.
> Regards, Jack.
> ----- Original Message -----
> From: "Alex Matulich" <alex@xxxxxxxxxxxxxx>
> To: <omega-list@xxxxxxxxxx>
> Sent: Monday, October 18, 2004 11:56 AM
> Subject: Re: Backtest ideas ?
>
>
> > >Hi Alex: Unless I am not understanding Sudhir, he is concerned that
> even
> > >though backtesting will indeed show a fill occuring when the price is
> > >touched, as you say, in real trading no such fill may occur. Thus he
is
> > >trying to code his system to backtest a limit fill on a crossover,
which
> > >would most likely ensure a fill. Anyway, that's what I think he
means- -
> >
> > If that's the case, he can just set a limit order 1 pip away from where
> > he wants it. Then any fill would be a fill on a crossover of his
> > intended limit price.
> >
> > -Alex
> >
>
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