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Re: [amibroker] Backtest - using Multiple Time Frames



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I'm no expert at this, but my experience is:
 
Using this expandfirst will cause many false signals in actual trading.  This is because your signals will effectively be overwritten.  I've backtested some expandfirst systems with awsome results only to find that when trading these, you don't actually create buy and sell signals the same way in backtest as you would if you move forward in time (eg tick replay or real-life).
 
----- Original Message -----
To: AB-Main
Sent: Sunday, March 04, 2007 11:01 AM
Subject: [amibroker] Backtest - using Multiple Time Frames

I was reviewing some of my work ... an item jumped at me and I'd like to open it up for comments / discussion.
 
I had some tests using "ExpandFirst" to decompress weekly data on daily chart,
that produced significantly better results that when I used "ExpandLast".
 
There was some posting a while back why it is inapropriate to use "ExpandFirst". Specifically that the value of array on Friday is assummed to be known from beginning of week.
 
A little bit of philosophy here ...
 
Granted that "ExpandFirst" does assume we know  values for Friday from Monday's data ... BUT is that necessarily a bad thing. Why can we not look at it as "advanced forsight"?
 
My thinking is that if we get an improvement in prices early in the week, statistically they will be somewhat reflected at the end of the week also, so that using those prices with "ExpandFirst" is "more right" than "wrong".
 
Using Multiple time frames (weekly AND daily) should insure that the statistical edge mentioned above will likely be true because it is unlikely that a trade signal will be generated erroneously from both daily and weekly timeframes.
 
Appreciate your thoughts.
 
Ara

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