starfox182
24 posts
msg #102862
- Ignore starfox182 |
10/8/2011 6:20:30 AM
Is this even possible? I would like to use backtesting to see how an index open affects stock movements for short and long positions. I have no idea! Hope someone knows!
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starfox182
24 posts
msg #102863
- Ignore starfox182
modified |
10/8/2011 6:23:52 AM
What I mean is lets say your filter gives you a list of 10 symbols. Now, you only want those symbols to appear if the SP 500 opens higher. If it opens lower, you want no symbols to appear.
Likewise, your filter gives you a list of 10 symbols. Now, you only want those symbols to appear if the SP 500 opens lower. If it opens higher, you want no symbols to appear.
Thus, you can see the performance for long and short entries via backtesting.
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Kevin_in_GA
4,599 posts
msg #102865
- Ignore Kevin_in_GA |
10/8/2011 7:13:59 AM
Add the following lines to your filter
Ind(^spx, open) above ind(^spx, close) 1 day ago
but here's the problem ... SF only updates the indices at the end of each day, so at the open of any trading day, you will still be using yesterday's data.
For backtesting this should be OK, but for any actual trading, be aware.
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starfox182
24 posts
msg #102868
- Ignore starfox182
modified |
10/8/2011 7:43:33 AM
Thanks so much! So much simpler than that thread with all the crazy IF OR AND code!
Question: Do ETF's such as SPY get updated at the same time?
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Kevin_in_GA
4,599 posts
msg #102870
- Ignore Kevin_in_GA |
10/8/2011 11:05:26 AM
The SPY data is updated intraday, but there is a 20-30 minute delay in the data.
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glgene
616 posts
msg #102874
- Ignore glgene |
10/9/2011 9:27:42 AM
Besides ^spx (for the SP 500), what other indices does SF track? Is there a reference source for such indices in SF?
Is there one for the Wilshire 5000?
Gene
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glgene
616 posts
msg #102875
- Ignore glgene |
10/9/2011 10:15:48 AM
I found the list of SF-provided indices. But I didn't find the Wilshire? Does it exist, or did I overlook it?
Gene
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glgene
616 posts
msg #102876
- Ignore glgene |
10/9/2011 11:35:49 AM
Found it!
^DJWS
DJ WILSHIRE 5000 TOT
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