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July 22, 2017 at 8:05 am #101555
JulianCohen
ParticipantI have an MR system on the ASX that uses a 0.9 ATR stretch for entries.
Twice this week I have had my entry on the low of the day that trades there but in a crap amount. This has happened a few times before and only on the ASX. The Russell 1000 has enough depth to cover my measly orders.
Anyone else have this problem? Scott I think you mentioned it a while ago.
I discussed it with Nick a while ago and he suggested putting a turnover filter on to weed out some of the smaller traded stocks. I’m still getting the problem though.
Do I just suck it up?
July 22, 2017 at 8:40 am #107237Nick Radge
KeymasterI had two of those this week as well. I don’t have the answer but if I would be recording the tracking error.
July 22, 2017 at 9:41 pm #107238ScottMcNab
ParticipantYes…was something I looked at a little while back….I did a backtest and subtracted 1 tick from the buylimit price and found quite a significant impact on ASX MOC but not on US …suggesting many of the successful trades on ASX had buylimit at the low of the day….regarding the more important question as to what this means going forward….not sure sorry…if my ASX MOC was a stand alone system I would be more concerned but as it is just using the equity from the US system overnight then as long as ASX system remained positive I thought I would let it run and watch it.
Perhaps it is just a reflection of the lower liquidity and smaller universe such that a similar effect would be seen regardless of the buylimit price selected ? I did not test this further at the time. Does make me wish Norgate would include LSE or larger Asian markets but from what I’ve read online that does not seem to be likely in the immediate future (might have been something written in Norgate section of Amibroker forum)
August 8, 2017 at 2:59 am #107239TrentRothall
ParticipantI just read this in a blog, it might be worth looking into if you’re concerned about fills at extremes.. I haven’t thought about how to investigate it yet, but you might be able to print the BuyLimit and Low of the day in a exploration and dump into excel to look into it? Just a thought. Not sure if OHLC prices an be printed in a backtest?
“One concern is that the average trade PL is rather small – $20, just over 1.5 ticks. Strategies that enter and exit with limit orders and have small average trade are generally highly dependent on the fill rate – i.e. the proportion of limit orders that are filled. If the fill rate is too low, the strategy will be left with too many missed trades on entry or exit, or both. This is likely to damage strategy performance, perhaps to a significant degree.
The fill rate is dependent on the number of limit orders posted at the extreme high or low of the bar, known as the extreme hit rate. In this case the strategy has been designed specifically to operate at an extreme hit rate of only around 10%, which means that, on average, only around one trade in ten occurs at the high or low of the bar. Consequently, the strategy is not highly fill-rate dependent.”
August 9, 2017 at 10:53 am #107317ParticipantFor anyone interested i used the below code to print the Low in the backtest report then sorted in excel. One of my systems is running on 11% (where the Low is the buylimit) shows trades which might not be filled.
Interesting exercise if nothing else
Just enter this code a the bottom.
I haven’t been over it too thoroughly but it’s ok i think.
Code:StaticVarSet(“Low” + Name(), Low); // In regular codeSetCustomBacktestProc( “” );
if ( Status( “action” ) == actionPortfolio )
{
bo = GetBacktesterObject();
// run default backtest procedure without generating the trade list
bo.Backtest( True );// iterate through closed trades
for( trade = bo.GetFirstTrade(); trade; trade = bo.GetNextTrade() )
{
LowArray = StaticVarGet(“Low” + trade.Symbol);
LowAtEntry = Lookup(LowArray, trade.EntryDateTime);
trade.AddCustomMetric(“Low At Entry”, LowAtEntry);
}// generate trade list
bo.ListTrades( );}
August 13, 2017 at 6:30 pm #107320SaidBitar
MemberThanks Trent for this
i should test it since i am also having the same issue from time to time
Or maybe we can add additional condition to the backtest entry condition that the buylimit should be greater than the Low of the dayAugust 14, 2017 at 8:00 am #107346ParticipantThat is not a bad idea for testing sake, to see how it preforms
August 14, 2017 at 11:31 am #107349ParticipantI tried it slightly different by subtracting 1 tick for buylimit price ..had sig impact on asx…meaning many of my fills were at the very low of the day in the backtest…not much impact on US
August 14, 2017 at 5:10 pm #107352MemberL <= Ref(BuyLim,-1) - TickLo this is what i did but i found that the results are bad DD a bit deeper CAR almost half
August 14, 2017 at 7:56 pm #107353ParticipantMaybe it would be worth using that formula (or even just low
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