Jim,
Thank you so much for putting this all together. I couldn’t have said it better.
I particularly agree that P123 should get rid of the “approximate” opening prices for those indices and stop creating “artificial” data for members to use in backtesting from now on.
Regards
James
Point taken–and, Jim and James, well-made.
Apparently this workaround has been in place for ages. It’s not our practice to create “artificial” data on the sly, and this is the only instance of it which I know about.
I will get back to you shortly about how we’re going to handle the issue.
Im not sure which James you were referring to as we both have the same name, but I appreciate your post Jim. I absolutely did use money on the strat, I lost about 1200$, which is 10%~ of what I’m working with.
It sucks, I basically had to go back to the first strats I ran which involved buying low volume stocks that have fallen, in this case I too am using open-1, but I suspect the idea is more likely to work. Markets with 100k to 2000k in volume are pretty inefficient, it seems.
Regardless, I think the data should be removed too, if possible. I expect that the estimate only offers negative value to anyone who uses it, as it is look ahead bias.
We’ll be correcting this by giving an error message if anyone uses an Open command with one of the series for which we don’t get open values from our data providers. This would mean that Open(-1,$VIX) will give an error message.
Or is returning NA better? Just asking.
Walter
We considered that but it was unworkable for reasons having to do with our code.