Hi all,
I coded a system that uses end of day quotes.
Now I want to trade this system.
I tried to run the backtest with detailed log and simply do what the
system does in backtesting.
Problem is I do my trade 15-30 mins before end of day and actual end
of day price is different.
Therefore I may buy a stock based on the system run on 16:00, but when
run on EOD the system would not buy the stock and therefore would
never sell it later.
The only solution I have is explore the system with filter and so all
the "protfolio" work (like number of shares to buy) manually.
Is there a better way to coordinate a system and the actual trades I
am doing?
Thanks a lot,
Cobi
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