Randomise the Open Price

[JulianCohen]

I wanted to stress test my systems by randomising the open.

I used this:

Code:

Variance = Open * RandPercent(MCRP);
LEPrice = Min(Ref(BuyLim,-1),Variance);

Am I missing something as the results seem a little strange…basically it improved the results dramatically, and none of the 500 tests were below my normal result, so I suspect an error.

[ScottMcNab]

Perhaps by definition it could only improve performance. ?…the low is staying the same so the buylim still triggers on the same days at the same price (so if open price is higher it has no impact) but on those days where open is made lower than buylim by the randomisation then getting a better entry fill

[LeeDanello]

void

[LeeDanello]

Julian Cohen wrote:

I wanted to stress test my systems by randomising the open.

I used this:

Code:

Variance = Open * RandPercent(MCRP);
LEPrice = Min(Ref(BuyLim,-1),Variance);

Am I missing something as the results seem a little strange…basically it improved the results dramatically, and none of the 500 tests were below my normal result, so I suspect an error.

It seems obvious that Open * RandPercent(MCRP) < Open. Do an exploration and check it out

[SaidBitar]

Maurice Petterlin wrote:

Julian Cohen wrote:

I wanted to stress test my systems by randomising the open.

I used this:

Code:

Variance = Open * RandPercent(MCRP);
LEPrice = Min(Ref(BuyLim,-1),Variance);

Am I missing something as the results seem a little strange…basically it improved the results dramatically, and none of the 500 tests were below my normal result, so I suspect an error.

It seems obvious that Open * RandPercent(MCRP) < Open. Do an exploration and check it out

True

you need to change the MCRP to be from 80 to 120 for example
you need to go above 100 to have higher value for the open
but again you will not get anything worst than the current situation since you are not using the open for anything only for better entry

[JulianCohen]

Thanks guys. I didn’t think this through properly.

[Author]

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