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Tomasz wrote:
> 10 day of tick data (what eSignal offers now) can be as much as several
megabytes.
> Five years of tick data would not fit in the (RAM) memory of your computer
(over 1GB required)
Yes, I know. However, that is more of a problem for stock traders than it
would be for me. I deal only with futures contracts, where the active
period--the time one would actually trade that contract--is never more than
two or three months. For time bars, I use 1-minute data and look at bar
sizes from 1 minute to 80 minutes, depending on the trading vehicle,
technique, and what I ate for breakfast. How much of the contract to test
is written into the system, and would work as well with tick bars as it does
with time bars. It's nice to be able to use the "Apply to all stocks"
option, but if need be I can test individual contracts, export the data, and
crunch the results in Excel. No doubt the stock guys could do the same.
Admittedly, the data requirements seem to rule out tick-based explorations
on thousands of stocks. Not my problem, and the stock traders might well
prefer to have some back-test functionality even if one desirable feature is
not available.
> Of course you nentioned 500-tick bars but others would like to have other
compression
> so one would need 1-tick data to convince all.
Of course. Personally, I don't see any use for anything under 25-tick bars,
even in the S&P, and then only at night. However, some people do use them,
while others like odd bar sizes; 343 ticks comes to mind. They could not do
without 1-tick data--which is the way we get it from data providers anyway.
So, sure, one tick at a time is the only way to go, at least for the
archives.
Problem is, I would not trust a test of intraday trading that looked back
less than two years. I've never heard anyone whose judgment I valued
suggest less than one year, and some folks have demanded five. (I do
understand that some participants here disagree.) Ten days, IMHO, is just
self-abuse.
Offhand, I'd bet this is a smaller challenge for you than intraday testing
was. I will do my part by adding as much RAM as is needed. And if it means
living with the loss of speed inherent in virtual memory, so be it.
Whatever it takes to get the job done.
Best regards,
Owen
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