Costly Robobroker Errors

Discussions about brokerage firms for futures, stocks and other tradeable instruments.
Roundtable Knight
Roundtable Knight
Posts: 142
Joined: Mon Jan 23, 2006 10:24 pm
Location: Australia

Post by mike168 »

I was a bit lazy and usually posted images straight out of screen capture without re-sizing. Thanks for reminding, done that.
My main point regarding my post above is if using fixed dates, we have to actually investigate carefully because the back-test result may not be as it seems. If for example, during rollover with a large spread and low volume, the back-tested price may be far from the actual fill-price. Hence the commission/slippage we set in TBB may be un-realistic. Also, depending on how conservative/aggressive we set the "minimum futures volume" in TBB, this change in volume could actually mean taking/not taking the signal in back-testing - as least as I understand it.

AFJ Garner
Roundtable Knight
Roundtable Knight
Posts: 2071
Joined: Fri Apr 25, 2003 3:33 pm
Location: London

Post by AFJ Garner »

Yep, take your point. Jeez, quite right about the Hang Seng.

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