Hi MMillar, good points-
For an intra-day system you need intra-day data - OHLC data makes the system look really good but ignores all the intra-day stops and losses. e.g. (assume you triggers are at +/- 75, stop is at 50) If the market started at 10000, then down to 9025, then upto 10000, then closed at 9000. On paper it looks like you made 25 points, when in reality you would have been stopped at -50 points.
Yes, I agree with your first paragraph, although in my book I would have lost 75pts since I'm only allowed one short and one long per day. Even worse!
So would have gone short at 9025 (9925 in reality unless 975 swings are on the way
![Wink ;) ;)](data:image/gif;base64,R0lGODlhAQABAIAAAAAAAP///yH5BAEAAAAALAAAAAABAAEAAAIBRAA7)
then been stopped out at the return to 1000 for -75. The subsequent fall to 9900 would have hidden the true events as you point out.
When you are trying to model the SB numbers, why not just use the futures data? It's much more accurate then trying to second guess the SBs.
I thought it would be interesting just to experiment with the price swings to see how it affected the system, yes I should use the futures data. But would it be even better to use the SB company quotes? There must be a way of reading these into a file to build up a database? Perhaps the JAVA crowd have the answer?
re your post above about your system being triggered at 10460 when the market only got to 10466. If I understand correctly shouldn't you base your triggers on the Index and then just take the SB price? That way you know you are getting triggered correctly and just have to assume a certain slippage.
As well as the backtests, I have been forward testing using the SB bid price for setting the trigger levels and then using the SB bid/offer prices to trigger those levels. The idea was to make the
paper test as realistic as possible.
'I can't make the system lose money at all' - sorry to be a damp squib but that's not the issue. It's how it made that money. If a system takes 10 trades, makes $1000 on the first one and then loses $50 each on the other 9, you still have a system that 'makes $550!'. But in reality it's a terrible system that is untradeable. You have to look deeper into the numbers to work out what is going on.
I was just surprised that I couldn't get the SS to give a negative bottom line return.
Thanks very much for your comments, very welcome and much appreciated.
Thanks also to rglenn for his reply.
And...
If your still there JonnyT, thanks for your words; you're passion to save people from themselves is reminiscent of the Plastic Tortoise
Now, where did I put that futures intraday data? :cheesy:
Best Regards,
Neil