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without specific reference to Brian's email below, in my limited experience I found that:
1) EOD bars are distinctly different from intraday bars. imo, the primary reason for this is that, except perhaps at the market open or close, intraday bars are not synchronized at any point in time. EOD bars have distinct patterns that can be traded but do not exist in intraday bars, i.e., Real-time systems do not necessarily work in the daily time frame, or vise versa.
2) Intraday bars gain random content quickly when you reduce the period to less than about 3 minutes. At which period this happens depends also on volume.
3) In very short time frames, say less than 1-2 minutes, data and Internet delays start to play a major role. In this range it is possible to develop HG systems with local data that fail in real-trading. See my post on this on the UKB. Delays also vary with the number of stocks you trade (your system's resources) and market volume (at open and close).
4) While I have never worked with longer than daily bars i know that daily bars have features that do not, and cannot, exist in weekly and longer time frames. Similarly, weekly and longer periods may have their own unique features.
5) imo, the OHLC bar structure is obsolete. Imagine the design advantage if you knew the HL precedence. Of course, in the majority of cases, you can be sneaky and calculate HL precedence by assuming that the price follows path of least resistance from the Open to the Close... or subscribe to real-time data.
best regards,
herman
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Saturday, March 1, 2008, 11:47:43 PM, you wrote:
> Rounding off my contribution on this topic.
> Most of my work, so far, has been based around EOD data (exclusively in
> stocks).
> I consider that daily bars are the natural rhythm of the market.
> I also regard them as nothing more, nor less, than barometers of market
> sentiment.
> For macro trading, if we look at the markets in weekly/monthly time
> frames we are seeing exactly the same information that we see in daily
> timeframes,except that is an approximate summary.
> Traders who want to see the macro picture with greater accuracy can do
> this by marking the major pivot points (write code for the daily
> timeframe to do that).
> (Sorry I can't provide code at the moment).
> If this is done it is successful, although I concede it is harder to
> follow the visual cues because of the limited number of bars that can
> be viewed in one screen (technically it is successful but I have no
> comment, for or against, it's usefulness for trading).
> IMO intraday bars, at around the 5 minute mark, are an extension of the
> daily timeframe and they can be successfully used to finesse entries
> and exists for EOD strategies.
> As an aside.
> Re: single bar patterns.
> Once again, IMO, they are a summary (shorthand notation) of the
> underlying bar patterns.
> I have made an effort to train my mind to know what info the single bar
> patterns are relaying to us, about the 'mood' of the market, in that
> timeframe (similar to the way in which musicians read music).
> I don't know exactly how successful I have been, or how much that
> impacts on my trading, but it is quite good fun and it does have it's
> uses.
> (It is consistent with my intention to strengthen my mental
> capabilities, for trading, by not over relying on computer memory).
> From my point of view, very little of what else is available
> in 'classical' TA is of any value.
> I consider that the topic (patten recognition) is finite and that at a
> personal level I have conceptually exhausted the subject (after many
> hours of contemplation). That doesn't mean I have exhausted all effort
> in that area - there are still new patterns (to me) to be found and
> more detail to obtain about those I have considered.
> I also consider that macro trading doesn't end there.
> There is the other side of the coin.
> If we are relying entirely on patterns, for macro trading, then we are
> only flying around on one wing (I will comment on supplementary methods
> somewhere down the track).
> Intra-day trading, however, is another cup of tea.
> The intraday 'patterns' are influenced markedly by the mechanics of the
> market (exchange hours, overnight cessation of trading, morning versus
> afternoon session, opening versus close, carryover action from the
> previous day etc) so it has some peculiarities of it's own.
> Further to that, at the sub-micro level (tick trading), continuity
> breaks down into discrete packages (perhaps there are new things to
> find out about that).
> I look forward to Hermans efforts to push that boundary.
> Like Herman I believe that the more we learn about what is ahead of us
> the more we understand what is behind us.
> brian_z
> --- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@xxx> wrote:
>> Should be fun.
>> Not posting against you.
>> Just a philosophical observation.
>> In nature, when we zoom in, we move from the discrete to the
>> continuous. Order disintegrates at the boundary (objectively we 'see'
>> no organizing principality in CHAOS).
>> In trading, when we zoom in, we move from the, apparently, continuous
>> to the discrete.
>> brian_z
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