Daily Signal now showing a buy

StrataSearch has many powerful features, with many techniques and approaches to explore. Here we discuss the things we've done, and the things we'd like to do.

Daily Signal now showing a buy

Postby gmg733 » Thu Mar 20, 2014 9:04 am

I have a daily signal and on today's report it is saying it is holding a position since yesterday. But yesterday's report did not say to buy that position. Any idea what is happening here?

Thanks!
gmg733
 
Posts: 44
Joined: Sat Jun 01, 2013 3:35 pm

Re: Daily Signal now showing a buy

Postby Overload » Thu Mar 20, 2014 11:10 am

Just to clarify the dates, if it says the position was entered on March 18, you would need to look at the Daily Signals Listing from March 17 to see the Buy Signal. The signal appears the day before the Entry Date. So you may need to scroll back a couple days to verify there was no Buy Signal.

But it is possible for what you described to actually happen. In nearly all cases, it is due to the historical data being changed at the pricing service. Even small changes of .01 to the close price can be enough to trigger a signal when it is right on the edge. If you go back and rerun your signals for March 17th (and/or 18th), you may see the Buy Signal appear for that date. If so, that would confirm that the historical prices changed.

There is also a switch on the File > Import Prices menu called "Import Current Prices". Using "Current Prices" can be helpful since it allows you to get prices much earlier in the day. However, using this option also creates a much larger risk of historical prices changing. To lower the risk, you can uncheck the box and only use the archived prices from Yahoo. But the drawback there is that prices only become available much later in the evening.

Pete
Overload
 
Posts: 2247
Joined: Wed Nov 30, 2005 12:14 pm

Re: Daily Signal now showing a buy

Postby gmg733 » Fri Mar 21, 2014 8:31 am

It never showed up the days before. Something must have changed.

I import my prices at 10p CST everyday anyhow so when I wake up the next day I simply look at my e-mail, put in my trades and off with my day. I don't know if the current prices check box would make a difference then. My assumption is the prices have settled before 11p EST. But that may not be the case.

Thanks.
gmg733
 
Posts: 44
Joined: Sat Jun 01, 2013 3:35 pm

Re: Daily Signal now showing a buy

Postby Overload » Fri Mar 21, 2014 10:15 am

In most cases I believe you're correct that Yahoo's archived prices will be ready by 11pm Eastern. But there may be certain cases where that does not happen. In fact, just last night (3/20/2014), Yahoo failed to update their archived prices at all. So if you go into their Historical Prices link for a stock, you'll see there are still no prices for yesterday. In StrataSearch, your signals may have still run, but instead used the "Current Prices" exclusively. While in general this is okay, there is again that higher risk that your signals might not synchronize properly after tonight's prices are processed.

Using a paid pricing service would likely solve this issue, but of course you'd have to pay. And that's the trade-off. Yahoo prices are overall pretty stable, but not perfect.

Pete
Overload
 
Posts: 2247
Joined: Wed Nov 30, 2005 12:14 pm

Re: Daily Signal now showing a buy

Postby gmg733 » Sat Apr 05, 2014 7:39 pm

I don't believe it is a price settlement issue. I re-ran my signals and the same result. But what I did notice looking at various signals is the signals I have set to a limit order at .99 of market following day never give buy signals ever. All equities are either holds or sells. I'm gonna look at it more when I have time. I am pretty sure at one time I had but limit orders showing up on one of my signals. But it seems now they never appear.

Thanks
gmg733
 
Posts: 44
Joined: Sat Jun 01, 2013 3:35 pm

Re: Daily Signal now showing a buy

Postby Overload » Sun Apr 06, 2014 9:27 am

What you've described could be the result of a future-looking value. For example, the use of ref(___, 1) looks at tomorrow's prices. About the only place you can do that is on the Order Types tab for a Market Order, when entering prices at the next day's opening price after the signal. But if you see a positive reference in the ref() formula anywhere else (like the Entry String, Rank, or Order Price on non-Market Orders), it is forward-looking, and you will get the scenario you described.

If you want me to look at it for you, open the File > Export Database menu and enter a valid filename. Then click the Filter button to the right of the Daily Signals and check the signal you're having trouble with. After clicking Ok and creating the file, send me a copy at support@stratasearch.com. I can then look and see if there's an issue in the code.

Pete
Overload
 
Posts: 2247
Joined: Wed Nov 30, 2005 12:14 pm

Re: Daily Signal now showing a buy

Postby gmg733 » Mon Apr 07, 2014 8:17 am

Pete,

That would be the case then. Here is the entry string:

ref(open, 1)*.99

Thanks.
gmg733
 
Posts: 44
Joined: Sat Jun 01, 2013 3:35 pm

Re: Daily Signal now showing a buy

Postby Overload » Mon Apr 07, 2014 2:30 pm

Using the Entry Price with a Limit Order would definitely create the issue you're seeing, but it's a little confusing so I don't blame you for being caught off guard. The good news is that at least this part of your strategy is solid, and can be implemented just fine. But it will take some tweaking to move it from back testing to live trading.

The issue is that Signals are run on the Signal Date, and don't yet have access to the next day's prices. So your Entry Price of "ref(open, 1)*.99" is invalid when running Signals. The next day's Open Price isn't yet available, so it bypasses this due to insufficient data in the database. Yes, it works in back testing because the next day's opening price is present in the database for historical trades, but it will not work in Signals.

To implement this for live trading, you'll need to change your Signal Setup so that you're using a Market Order. This will allow you to get Buy Signals for all the stocks that you'll need to monitor for intraday Limit Orders. That Limit Order processing will obviously need to be made with your broker, based on the price dropping 1% below the day's opening price.

There may be a couple more issues that need to be resolved as well. In particular, the StrataSearch signals will need to find a way to identify which signals you actually entered so that you can track them to their proper Exit. It can be done, but it will take some additional tweaking. That's just what happens when StrataSearch is used for intraday trading like this.

A far easier approach would have been to use an Entry Price of:

close * 0.99

This basically means enter the position if the price drops 1% below the prior day's close. The Signals would then display properly, showing what the Limit Price should be, and no tweaking would be needed. It is the reference to the next day's open price that is causing the issue.

Pete
Overload
 
Posts: 2247
Joined: Wed Nov 30, 2005 12:14 pm

Re: Daily Signal now showing a buy

Postby gmg733 » Mon Apr 07, 2014 9:52 pm

The close x .99 is the starts that I had that triggered limit buy in the signal. I'll revisit those. I have several systems so if I can't use the one effectively no big deal. Just didn't want to put money on it. Playing with it I had been buying the ones that slipped. But that isn't trading the system. :)

Thanks again
gmg733
 
Posts: 44
Joined: Sat Jun 01, 2013 3:35 pm


Return to General Discussion

cron