----- Original Message -----
Sent: Sunday, March 02, 2008 6:12
AM
Subject: Re: [amibroker] Re: Pattern
Searching within AB
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5) imo, the OHLC bar structure is obsolete.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
For tips on developing Real-Time Auto-Trading systems visit:
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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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