Hi Peter,

I was looking into your system and I noticed that you enter and exit the market with limit orders.

My question is how close is actual performance with the backtested results for the same period?

The question relates to liquidity concerns when the market price is less or equal to your limit price. When you backtest with daily data and you trade with limit orders you may be seeing very successful trades that would never happen in a real trading environment.

What is your experience/thoughts on the issue?

Hi Christos,

restricting the universe to liquid popularly traded stocks like those of the Nasdaq 100 has meant in practice I've not had problems getting my fills at the exact price whenever the limits have fallen within the daily range.

From past experience I am all too familiar with the spurious daily price ranges that can be reported for less liquid stocks and the corresponding inability to get a fill despite your limit seemingly being well within the reported range, and so for system trading I have gravitated away from using anything other than liquid efficiently traded stocks.

Cheers,
Peter