hi: brian says "not planning on making hundreds of trades per day"  because
if you're doing hundreds of trades per day, then this means you have
relatively short term holding periods, probably on the order of minutes.
so, it's hard to know if you're gonna be able to get in to the trade at the
time and price you want and out of the trade at the time and price you
want. ( when you backtest or paper trade, you're seeing either trades or
quotes and you can't be sure you can DEFINITELY be sure that your trade can
be
filled or closed out  at those prices ) and then, since the trades have
short term holding periods, this ( whether you can get in or can't get in
or get out or can't get out ) will effect the results a lot.

on the other hand, in a  scenario where you're holding periods are longer,
it doesn't matter as much what price and time you get in. for example,  if
you're holding period is say a week or more, then it's probably not going
to make a heck of a difference whether you get into a trade mid-day or end
of day or get out mid-day or end of day. so, the paper trading will be more
realistic in the longer holding period scenario.  I hope that clarifies
what you didn't understand.


mark






On Mon, Nov 28, 2011 at 11:18 PM, Christofer Bogaso <
bogaso.christofer@gmail.com> wrote:

> Sorry for my ignorance............" are not planning on making
> hundreds of trades per day, " why it is so?
>
> Thanks and regards,
>
>
> -----Original Message-----
> From: r-sig-finance-bounces@r-project.org
> [mailto:r-sig-finance-bounces@r-project.org] On Behalf Of Brian G.
> Peterson
> Sent: Tuesday, November 29, 2011 7:43 AM
> To: Lui ##
> Cc: r-sig-finance
> Subject: Re: [R-SIG-Finance] Backtesting / virtual portfolio
>
> On Tue, 2011-11-29 at 01:00 +0100, Lui ## wrote:
> > after backtesting strategies for a while I am wondering how to
> > actually "prove" they "kind a work" in a "as realistic as possible"
> > market environment. Even though I know this is not exactly related to
> > R - it is just one step further. Do you have any suggestions for
> > Portfolio Simulations that could be shared with others online - and
> > enable a real time (or close to real time) portfolio tracking? I came
> > across www.stocktrak.com but I do not know whether that is the right
> > thing for me - especially since I am mainly interested in German
> > Future contracts and $60 per month seem quite expensive...
> > The actual underlying issue is "building up some credibility" with
> > respect to the buy/sell suggestions a certain trading strategy may
> > suggest - I don't think my bank account statement will serve that
> > purpose... I was looking for something more transparent that could be
> > incorporated into a website...
> >
> > Thanks a lot for your suggestions and help - and again my apologies -
> > its not directly R, but closely linked to the topic... :-) Lui
>
> Definitely not R, but here are a couple thoughts:
>
> Many brokers, including InterActiveBrokers, support paper trading, where
> you
> can trade in real time and keep track of P&L.  If you place realistic
> orders
> (limit orders of reasonable size), then you can assume that your paper
> trading, if done in real time, closely mimics your potential results on a
> live account during that period.
>
> I suspect that if $60/month is too much to spend for a useful tool, you
> need
> to consider whether you are ready to be a professional trader.  We spend
> thousands of dollar per month just on data, and thousands more on trading
> infrastructure, for a very small trading operation.
>
> If you are making realistic assumptions and are not planning on making
> hundreds of trades per day, you should be able to get more than 90%
> correlations between backtests and production in R.
>
> Regards,
>
>   - Brian
> --
> Brian G. Peterson
> http://braverock.com/brian/
> Ph: 773-459-4973
> IM: bgpbraverock
>
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