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Hello,
What i have observed here is
With using expandfirst i was able to get the same value of a moving
avaerage or any oscillator if i had plotted it on daily chart from
weekly compressed data the reading of the ma or oscillator is very
near if i happen to see how the weekly charts look say on any day
before friday The readings tally in weekly as well as on daily chart
with weekly comprerssed data.
ANd i think that is more important. that the numbers tally in daily
with weekly compressed chart & pure weekly mode charts.
I think we need some clarity from the Boss.
Regards
hetu
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-- In amibroker@xxxxxxxxxxxxxxx, "Chris DePuy" <cdepuy@xxx> wrote:
>
> 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 -----
> From: Ara Kaloustian
> 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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