[R-SIG-Finance] qantstrat same period execution

af2tr dominykasgrigonis at gmail.com
Sun Dec 9 15:51:48 CET 2012


I agree it is not realistic for higher frequencies that daily, but on daily
data it sometimes is. Lets imagine we go short after downside cross.(vice
versa in image) you wake up and see a huge gap like this. You don't rlly
want to wait for the next day. Also in other cases you just wait until 4:45
and call your broker. Market price you get will be pretty close to same
day's close...

I'm not intending to persuade you to change it, just making a point. :)

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