Hi Fred, I've always considered that difference as "profit".
Except when it isn't, of course. ^_^ Yuki Thursday, August 24, 2006, 9:53:36 AM, you wrote: F> There are a variety of ways to look at this ... F> To me the difference between yesterdays close and todays open is F> slippage and the larger the imbalance of orders in the direction of F> your entry will only serve to widen that difference. F> --- In amibroker@yahoogroups.com, "intermilan04" <[EMAIL PROTECTED]> F> wrote: >> >> I am by no means one of the big fish in the market, but I have not >> experienced a single occassion of slippage. The "opening price" F> that >> shows up on Yahoo Finance is the exact price, down to cents, that I >> traded with. I place orders overnight so internet connection is not >> my issue; the order is already handled by my broker in pre-market >> awaiting the opening bell. >> >> intermilan04 >> >> --- In amibroker@yahoogroups.com, "Terry" <MagicTH@> wrote: >> > >> > So, this is a good lesson in slippage. Slippage WILL HAPPEN. If F> it's not >> > the open price it will be some "surprise" like Iran or N. Korea F> drops a >> > nuke or something much simpler like your internet connection is F> down >> > when you need to trade or your take a vacation. The backtester F> never >> > takes a vacation and never has computer problems and F> already "knows" >> > about all the wars, oil spills, etc ;-) >> > >> > (Not preaching to you Monty, just taking the opportunity and your >> > research to make a point.) >> > -- >> > Terry >> > -----Original Message----- >> > From: amibroker@yahoogroups.com F> [mailto:[EMAIL PROTECTED] On >> > Behalf Of the_bear_98 >> > Sent: Tuesday, August 22, 2006 16:06 >> > To: amibroker@yahoogroups.com >> > Subject: [amibroker] Re: Buying at open -- In Real Life >> > >> > >> > Terry, Yes, it looks like a "minutes" type test, but actually F> was >> > about 750 trades over 8 years with an average holding time of 6.6 >> > days. >> > another way to look at the math would be to simply do the F> compounding >> > of 4% vs. 3.7% 240 times. (approximately the number of full turns F> I >> > got with my stocks over eight years--"back test" data- no way F> real >> > life would hold up.). We get 1.04^240 vs. 1.037^240 for 12,246 F> times >> > your $ vs. 6,122 times your money, or 50% less with "slippage" of >> > just 0.3%. I think as long as you can look at things like this in F> a >> > backtested system, you will be more aware of things to monitor to F> see >> > that you are getting close to what you backtest. >> > Thanks >> > Monty >> > >> > --- In amibroker@yahoogroups.com, "Terry" <MagicTH@> wrote: >> > > >> > > Monty, >> > > >> > > >> > > >> > > I really like your analysis and thinking on this test, but I >> > > respectfully submit that if your system drops 50% of it's F> profits >> > for a >> > > nickel change is price, something else is wrong -- or you are >> > trading in >> > > minutes and not days ;-) >> > > >> > > -- >> > > >> > > Terry >> > > >> > > -----Original Message----- >> > > From: amibroker@yahoogroups.com F> [mailto:[EMAIL PROTECTED] >> > On >> > > Behalf Of M Webb >> > > Sent: Sunday, August 20, 2006 12:02 >> > > To: amibroker@yahoogroups.com >> > > Subject: Re: [amibroker] Re: Buying at open -- In Real Life >> > > >> > > >> > > >> > > You might want to do a sensitivity test to see what happens to F> your >> > > system if you do not get the "OPEN". >> > > >> > > First run the cases where the High is greater than the Open, F> and you >> > > fill at some possible price within that range, and then run the >> > cases >> > > where the Low is lower than the Open and you get that price. F> Here >> > is an >> > > example of the code. This is not "peeking", it is allowing the >> > price to >> > > wander up or down, and you are getting filled at some % away F> from >> > the >> > > Open. I used to think that fills could be both over and under >> > the "Open" >> > > by a few cents and over the long run, it should average out to F> the >> > > backtested results. Obviously this depends on what your system F> is, >> > but >> > > this is what I get with my "Buy on a pullback" system. If you F> get >> > fills >> > > more than a few tenths of a percent away from the Open, even if >> > they are >> > > on either side, your system can drop like a stone. Yes there is F> a >> > magic >> > > zone where if you could always buy at the nanosecond the stock >> > trades a >> > > few cents over the Open you make even more money- BUT you can F> not >> > let >> > > your order be "seen" or of course it will fill and then the F> price >> > will >> > > drop back a few cents. You have to let the market wander up and F> then >> > > jump in. Better to just try for "Open" and see that your system >> > makes >> > > money even if you miss the Open. Please note that this group is for discussion between users only. To get support from AmiBroker please send an e-mail directly to SUPPORT {at} amibroker.com For other support material please check also: http://www.amibroker.com/support.html Yahoo! Groups Links <*> To visit your group on the web, go to: http://groups.yahoo.com/group/amibroker/ <*> To unsubscribe from this group, send an email to: [EMAIL PROTECTED] <*> Your use of Yahoo! Groups is subject to: http://docs.yahoo.com/info/terms/