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Chris,
> This won't help you much but I thought I would chip in here, anyway.
On the contrary - I think it is very apt and insightful.
> I used to spend *hours* every week manually updating data etc
> . What an agonising waste of time!.
I agree with you.
Efficient use of time (a.k.a what works?) and leaving risk behind are
two major drivers behind the development of my style e.g. fundamental
analysis requires a constant renewal of information whereas with
technical analysis the acquisition phase diminishes with time.
> Support and resistance are
> still at the same level, and is never tick precise.
I agree S&R is not tick precise.
In fact I am inclined to the view that it is generally a little
imprecise.
Take a classical (theortical) example of support - one buyer with
enough clout to make a difference is buying at a target - say it is a
whole number $20.00. In real life he or she is a person with emotion
so 20 becomes 19.95. Also in real life the order has to be physically
filled so spreads and market movement around 20.00 means 'buy at 20'
becomes +- 0.20.
I am not a long term intraday trader but my observations so far at
that S&R are easily identified on intraday charts than EOD charts.
> The issue is: is the expectancy positive and can I continue to
>trade
> this. All three maintained a positive expectancy and when this fell
>away
> this was the "stop trading this system" signal.
I agree that expectancy is a significant metric.
I like PF (a derivation of it) and expectancy is really PF translated
in return over time (PA%).
PF is like the HP of an engine.
The more grunt you have the less you are affected by the little bumps
(data errors, slippage, variance etc).
Even a coin with a strong bias will produce its run of outs.
Thanks for your post,
Good stuff.
brian_z
--- In amibroker@xxxxxxxxxxxxxxx, ChrisB <kris45mar@xxx> wrote:
>
> Brian
>
> This won't help you much but I thought I would chip in here, anyway.
>
> I used to spend *hours* every week manually updating data, checking
> splits consolidations rights issues etc every week with data from
> Justdata comparing with ASX published data in the back of the old
Shares
> magazine. What an agonising waste of time!.
>
> Now I only look at Fx. With this being retail broker based the data
is
> never clean.
>
> Toward the end of last year I ran a simple once a day system on
three
> different (demo: yes I know) platforms, entering Limit entries for
the
> day in the morning and off to work for the day, as a kind of real
time
> walk forward test. Surprising how much time this took to do.
>
> In the evening most times all three platforms had either filled my
> orders or not, but it was surprising to see how many times
Platform1 and
> Platform2 would have filled my limit entry, and one of them had got
> stopped out, whereas the other had got to the Take Profit. On other
days
> Platform1 and Platform2 would have filled my entry order but
Platform3
> ran without me: a missed trading opportunity.
> At the end of the month all three platforms were in profit, just by
> different amounts.
>
> Because I get my Fx data through MT3 plugin these are not exactly
the
> same prices as my live trading account.
> To be honest I don't think this matters. Support and resistance are
> still at the same level, and is never tick precise.
> Others may choose to disagree.
>
> Just following three Fx data providers will show you by how much
each
> can differ, notwithstanding the different time zones and therefore
> differing candles we get. And that is not even talking about
economic
> news times!
>
> The lesson for me was clear : the individual trade result is
irrelevant.
> The issue is: is the expectancy positive and can I continue to
trade
> this. All three maintained a positive expectancy and when this fell
>away
> this was the "stop trading this system" signal.
>
> That to me is one of the advantages of Fx : no database hassles. No
> company reports, no shareholder statements, no Chess holder
statements
> and the inevitable shareholder bits of paper coming through the
mail
> after I have long closed the trades.
>
> The other way to think about it would be: well if Provider1 has
> different Ticks to Provider2, just backtest and optimize for each
> respectively over the same time frame and the same tickers. If your
> parameters and results differ widely this may be a message that
your
> system is marginal. On the other hand, if all is well and the
results
> are very similar, you have just done your own "should I care how
clean
> my data is?" test.
>
> Regards
> ChrisB
>
> brian_z111 wrote:
> >
> > Steve,
> >
> > I would like to know how I can decide if EOD data is clean or if
> > intraday data is up to the demands.
> >
> > It is a subject that I don't see much quality discussion on.
> >
> > For EOD data my best ideas so far are:
> >
> > 1) Data includes raw data - I can compare raw data to other
providers
> > raw data - I can't compare it to an absolute benchmark because
there
> > isn't one.
> >
> > 2) Data inlcudes a record of all split events and the
corresponding
> > split factor I can check the event records independently and check
> > the math.
> >
> > 3) I can apply the split factor or see the results of it's
> > application so I can check the math.
> >
> > 4) The event calendar should inlcude non-trading days for the
market
> > and stand down trading days for companies.
> >
> > 5) Data can be padded or unpadded (optional).
> >
> > I can't think of any other way to measure data quality.
> >
> > I don't think any data provider meets the criteria - maybe a few.
> >
> > For intraday:
> >
> > What could I possibly do?
> >
> > Buy raw tick data from several providers, compare them for a
> > consensus and filter it myself ?
> >
> > I am at a loss on that one.
> >
> > Of course another option is to trade in such a way that bad ticks
and
> > unclean EOD data don't affect the outcomes very much (that could
be a
> > lot easier than the above).
> >
> > brian_z
> >
> > --- In amibroker@xxxxxxxxx ps.com
> > <mailto:amibroker%40yahoogroups.com>, "scourt2000"
<stevehite@ ..> wrote:
> > >
> > >
> > > Mark,
> > >
> > > No successful intraday real-time trader who does this full-time
> > would
> > > ever drop eSignal for Gary's new real-time service.
> > >
> > > It's a pennywise and pound-foolish decision.
> > >
> > > He's fine for clean end-of-day data. But he's way out of his
> > league
> > > for the demands of intraday real-time trading.
> > >
> > >
> > > --- In amibroker@xxxxxxxxx ps.com
> > <mailto:amibroker%40yahoogroups.com>, "MarkK" <MailYahoo@> wrote:
> > > >
> > > > Brian,
> > > >
> > > >
> > > >
> > > > So far I am very happy with the QP RT beta testing
> > > >
> > > > I believe that when it goes live they will be taking a lot of
> > > customers away
> > > > from the other services
> > > >
> > > >
> > > >
> > > > It is a much better value than other things out there, and so
far
> > > the data
> > > > has been accurate
> > > >
> > > >
> > > >
> > > >
> > > >
> > > > MarkK
> > > >
> > > >
> > > >
> > > > _____
> > > >
> > > > From: amibroker@xxxxxxxxx ps.com <mailto:amibroker%
40yahoogroups.com>
> > [mailto:amibroker@xxxxxxxxx ps.com <mailto:amibroker%
40yahoogroups.com>]
> > > On Behalf
> > > > Of brian_z111
> > > > Sent: Friday, February 15, 2008 7:47 AM
> > > > To: amibroker@xxxxxxxxx ps.com <mailto:amibroker%
40yahoogroups.com>
> > > > Subject: [amibroker] Re: AP's RT data feed - for MarkK
> > > >
> > > >
> > > >
> > > > > I am looking for an RT data provider. I used eSignal for a
> > couple
> > > > >of years, then quit and am ready to resart, but don't likr
their
> > > > >fees.
> > > >
> > > > QuoteTracker and LiveCharts have the $60 and $20 version of
> > eSignal
> > > > if you don't mind less backfill and fewer symbols.
> > > >
> > > > I have read of a few issues with LiveCharts but surely we can
> > make
> > > it
> > > > work (a lot of the problems also came about because people
still
> > > > wanted it free after it changed to pay for play a year ago -
of
> > > > course it doesn't work if ou don't pay).
> > > >
> > > > A couple of users said it was slow - I don't know - I haven't
> > tried
> > > > it yet but I will.
> > > >
> > > > brian_z
> > > >
> > > > --- In amibroker@xxxxxxxxx <mailto:amibroker% 40yahoogroups.
com>
> > > ps.com, "Ara
> > > > Kaloustian" <ara1@> wrote:
> > > > >
> > > > > Mark,
> > > > >
> > > > > I am looking for an RT data provider. I used eSignal for a
> > couple
> > > > of years, then quit and am ready to resart, but don't likr
their
> > > fees.
> > > > >
> > > > > Would you elaborate a bit on AP. Never heard of them
> > > > >
> > > > > Tx
> > > > >
> > > > > Ara
> > > > > ----- Original Message -----
> > > > > From: MarkK
> > > > > To: amibroker@xxxxxxxxx <mailto:amibroker% 40yahoogroups.
com>
> > > ps.com
> > > > > Sent: Friday, February 15, 2008 3:36 AM
> > > > > Subject: RE: [amibroker] New EOD data feed other than Quotes
> > Plus
> > > > >
> > > > >
> > > > > Dan,
> > > > >
> > > > >
> > > > >
> > > > > I use QP for EOD data, and am happy with the fundamental
data
> > > > that they provide. Not sure there is another service that
offers
> > as
> > > > much in that area
> > > > >
> > > > > I also use Fast Track for EOD data. Some market internal
data,
> > > > no fundamental data to speak of, however the data has been
> > cleaner
> > > > than QP EOD day data. For Mutual fund data not sure there is a
> > > > better service out there.
> > > > >
> > > > >
> > > > >
> > > > > Have been an e-signal subscriber for RT data now for 4
years. I
> > > > cancelled my subscription since they kept raising their
prices,
> > and
> > > > went to IQ feed. Used them for a month then they raised their
> > > > prices. Luckily I was abe to beta test AP's RT data feed. So
far
> > > > they have been very responsive on the changed needed to make
it
> > an
> > > > excellent RT service, and at a reasonable price.
> > > > >
> > > > >
> > > > >
> > > > > I would suggest you get hold of Gary at QP and let him know
> > about
> > > > your issue. I would think you will become a satisfied customer
> > once
> > > > again
> > > > >
> > > > >
> > > > >
> > > > >
> > > > >
> > > > >
> > > > >
> > > > > MarkK
> > > > >
> > > > >
> > > > >
> > > > >
> > > > > ------------ --------- --------- --------- --------- -------
-- -
> > > > ----------
> > > > >
> > > > > From: amibroker@xxxxxxxxx <mailto:amibroker% 40yahoogroups.
com>
> > > ps.com
> > > > [mailto:amibroker@ yahoogrou <mailto:amibroker%
40yahoogroups. com>
> > > ps.com] On
> > > > Behalf Of Dan Clark
> > > > > Sent: Thursday, February 14, 2008 11:56 PM
> > > > > To: amibroker@xxxxxxxxx <mailto:amibroker% 40yahoogroups.
com>
> > > ps.com
> > > > > Subject: [amibroker] New EOD data feed other than Quotes
Plus
> > > > >
> > > > >
> > > > >
> > > > > I've been using Quotes Plus data for the last 2-1/2 years.
> > > > Overall, I've been very happy with Quotes Plus data and Gary
> > > Lyben's
> > > > (owner/president) responsiveness. That said.
> > > > >
> > > > >
> > > > >
> > > > > In the last few days, I've swapped several e-mails about a
> > minor
> > > > billing issue (credit card renewed with different number)
with a
> > > > woman in his billing department. What should have been a very
> > minor
> > > > clerical issue left me feeling EXTREMELY angry and offended.
> > > > >
> > > > >
> > > > >
> > > > > I vowed to switch my data feed from Quotes Plus to another
data
> > > > feed as soon as possible. This is a major issue for me
because of
> > > > the amount of AFL recoding involved, but I can no longer do
> > > business
> > > > with Quotes Plus.
> > > > >
> > > > >
> > > > >
> > > > > I need some options for other EOD data feeds. What EOD
service
> > > > are you using? What has your experience been? What are the
> > > > alternatives now?
> > > > >
> > > > >
> > > > >
> > > > > Thanks and regards,
> > > > >
> > > > >
> > > > >
> > > > > Dan.
> > > > >
> > > >
> > >
> >
> >
>
>
> --
> Regards
>
> ChrisB
>
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