Locked limit down/up

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Dutchtrader
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Locked limit down/up

Post by Dutchtrader » Fri May 09, 2003 1:32 pm

Hi,

Sometimes there will be locked limits down or up in commodities for one or several days, as most of you will know. I think that it is not possible to see these events on a simple barchart ( daily basis ). If so, how do you backtest these events? Or am I wrong and is it possible to see? Can somebody explain?

Thanks in advance,

Marc

blueberrycake
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Post by blueberrycake » Fri May 09, 2003 1:42 pm

This may not be the perfect solution, but in my backtesting I dont take trades on days where the daily high is equal to the daily low, on the assumption that the day was locked-limit the entire day. Unfortunately, I dont have any good way of dealing with days where some trading took place before the marked locked up.

-bbc
Last edited by blueberrycake on Fri May 09, 2003 3:43 pm, edited 1 time in total.

damian
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Post by damian » Fri May 09, 2003 1:49 pm

my software (Behold) alows you to stipulate the limit move for a day and it attempts to calc if a particular move would have resulted in a limit lock.

This is not perfect as the size of move for limit lock to take place changes over time in some markets (or so I have been told).

damian

Dutchtrader
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thanks

Post by Dutchtrader » Sun May 11, 2003 4:03 pm

Hi bbc and Damian,

Thanks for the input!

Marc

edward kim
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Post by edward kim » Wed May 14, 2003 12:58 am

Hi Damian,

When a market is locked limit up for several days in a row, the exchange will sometimes allow a range expansion for the limit moves. If you have a predetermined fixed amount for locked limits, can you automatically adjust for that in your system? I kind of like bbc's concept where no trades are taken if the high and low are equal, because there is no guarantee you can get in or out of a position.

The problem with that though is when a new contract that is really far from expiration rolls out into the market, the high often equals the low because not much trading goes on. Maybe it's better to just trade the current contract during testing (Of course, you get the problem where some months will move more than other months!)

Edward

damian
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Post by damian » Wed May 14, 2003 4:21 am

hi eck,

you may be able to define LimitMove as a variable from within the system rules. I will have to check.

damian

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