I just got an email ad from Futures Truth magazine about their latest issue and one article looks pretty interesting. Here is what I copied and pasted from the ad: "Do you ever think your TradeStation results look a little too good to be true? Learn how unintentional cheating can all too easily occur when using TradeStation in this installment of George's Corner - Avoiding EasyLanguage Pitfalls. " I am curious as to what this article has to say, so If anyone currently subscribes to this magazine and wouldn't mind sharing the article with me, I sure would appreciate it. If necessary, I will pay for the article. Futures Truth will only sell me the whole issue for $30. But I only want to see just this article. Thanks in advance. tah
They are probably talking about unintentional use of data in the future to generate buy and sell signals for backtesting. Nothing new.
When implementing your buy/sell logic, its quite easy to implement look forward logic where your buy/sell logic is based on data that would not be readily available in a realworld scenario. This may be a stupid example, but say someone is setting up a backtest scan and sets their buy logic to be equal to 2% above the days low. Well, in the realworld there's no way you could buy 2% at the days low because the low wouldn't be entirely defined until the days end. You have the luxary knowing the high/low for each day when looking back, but when the system would be applied in the "real world" this data would not be available to you. With end of day data, the best the end user could properly buy in at would be utilizing the previous day's low.
You make a good point. I think the 'known' low of the day could be used in an intraday scenario though. All the best.
Well, there'd really be no way to base a system on the true low of the day. It'd be at best an approximation. Granted, the further into the trading day you are, the closer the approximation is to the true value, but "low" cannot be truely defined until the trading day is closed out.