Rt 20dmf

[Rembert]

The IWM/GDX robots are EOD trading machines. This means that EOD signals are effective at the open of the following day.

Pascal,

How are the backtest results calculated when dealing with closing a position on a signal change ? Does the backtest simulate EOD by closing the position at the open of the next trading day or does it simulate the real time model by executing the transaction at the close ?

In case you have backtested both scenarios, was there a big difference ?

[Pascal]

Pascal,

How are the backtest results calculated when dealing with closing a position on a signal change ? Does the backtest simulate EOD by closing the position at the open of the next trading day or does it simulate the real time model by executing the transaction at the close ?

In case you have backtested both scenarios, was there a big difference ?

For the back-test involving Pivots, all the entries are on pivots and the exits are on trailing stops or signal change. Half of the exists were on signal change. On signal change, the strategy was to sell at the close.

I posted today a back-test comparing a buy/sell at the close to a buy/sell at the next day open both for IWM and for GDX using strong signals only. The IWM results are the same. the GDX are 10% different (buy/sell at the close give 10% better returns for GDX, mainly because GDX trades extremes of the signals).


Pascal

[Rembert]

Ok thank you Pascal.

Edit : I just saw your backtest in the comments of the GDX robot. Interesting results indeed.