ShaunWhite wrote: ↑Mon Jun 25, 2018 12:36 am
Strategy dev 101 question, what prices are you using for your entries and/or exits, best, reverse or mid? (in excel)
Using best price I find it almost impossible to find black numbers, and using reverse prices I find lots of edges but because they're slim so I can't be sure they can be executed.
I've settled on reverse for entry and best for exits but I'm especially happy with it.
I believe it's measuring simply which back price is available. It is certainly an assumption - & the results will have an error component. The only way I can mitigate it is by assuming the targets are always hit perfectly, & the stops are always slipped (assuming the strat has stops/targets).
How would you define slim? that to me is quite subjective
For example, building a scalping strategy on my dataset, & expecting the results to be similar, would be pretty silly. However finding the markets that have the lowest volatility, using a breakout strategy (which never fires) - implies the optimal variables for scalping. Assuming we avoid curve fitting
![Confused :?](./images/smilies/icon_e_confused.gif)