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I am also currently developing an Intraday system based on 1-minute
bars, but for FOREX.
Will I encounter the same problems as outlined below? Or is the
1-minute IB datafeed for FOREX more accurate than for stock tick data?
I would hate to see my system do well on backtested data, only to see
it fail because of "impure" live data!
--- In amibroker@xxxxxxxxxxxxxxx, Dennis Brown <see3d@xxx> wrote:
>
> Louis,
>
> It is too complicated for me also. I try to simplify everything I
> can, because there are so many complicated things to deal with. So I
> went to Futures trading which simulates very close to actual
> executions if you build your trading algorithms carefully. Once you
> are aware of the potential problems, it is easier to avoid getting
> trapped by them. For a final test, I trade it live for a couple of
> days and compare results realtime from the backtest (which runs live
> in indicator mode on my system) and what my broker account is doing.
> I limit my backtesting to a couple of days when I am trading realtime
> to keep things running fast. I tweak my trading algorithms until my
> backtests perform a little worse than my real trading. That way I
> have a bit of a cushion for the inevitable failures due to data feed
> problems, computer system malfunctions, and human error.
>
> BR,
> Dennis
>
> On Jun 23, 2008, at 2:56 PM, Louis Préfontaine wrote:
>
> > OMG that seems very complicated. How do you do to do that?
> >
> > Louis
> >
> > 2008/6/23 Dennis Brown <see3d@xxx>:
> > Something to consider is that stocks have a large number of bad tick
> > data. Suppliers are trying to correct these as quickly as
> > possible. Futures data has very few bad ticks. That is the main
> > reason I switched to only trading e-mini futures instead of stocks
> > for many trades per day, and why I limit my trading to just one
> > future at a time.
> >
> >
> > To backtest a HF system, you actually need two tickers, the raw data
> > ticker and the corrected data ticker. You generate trading signals
> > from the raw data, and execute the order prices on the corrected
> > data. And don't forget to take into account the time lag between
> > the raw data showing up, and the time of execution on the corrected
> > data.
> >
> > BR,
> > Dennis
> >
> >
> > On Jun 23, 2008, at 1:37 PM, Louis Préfontaine wrote:
> >
> >> Hi Herman,
> >>
> >> I read this one
http://www.amibroker.org/userkb/2007/12/24/high-frequency-automated-trading-hfat-part-2/
> >> but it seemed to me like it was a bit complicated to get an
> >> uncorected database. I mean, having to manually check where
> >> backfill ends and raw begins, saving two different databases, etc.
> >> Seems like a lot of work... and doing it everyday! Isn't there any
> >> easier way?
> >>
> >> Do you think this is an issue for 1-minute intraday, or only for
> >> tick, or 5 seconds? Because it does not make sense to waste a lot
> >> of time on corrected 1-minute data only to see it fails miserabily
> >> with raw data!
> >>
> >> Thanks,
> >>
> >> Louis
> >>
> >> 2008/6/23 Herman <psytek@xxx>:
> >>
> >> I remember at least one case where I developed a HG system using
> >> historical 1-Minute bars that didn't work with real-time
> >> (uncorrected) data.
> >>
> >>
> >>
> >> Any system that trades frequently intraday can easily be verified
> >> by running it for a few days with life data. Also, the 2nd article
> >> on the UKB tell you how to save uncorrected (raw) data for later
> >> comparison with backfilled data.
> >>
> >>
> >>
> >> Of course different systems have different sensitivities to
> >> qualities. You can try and design so that your system is
> >> insensitive to the problems outlined on the UKB.
> >>
> >>
> >>
> >> best regards,
> >>
> >> herman
> >>
> >>
> >>
> >> For tips on developing Real-Time Auto-Trading systems visit:
> >>
> >> http://www.amibroker.org/userkb/
> >>
> >>
> >>
> >> Monday, June 23, 2008, 10:04:25 AM, you wrote:
> >>
> >>
> >>
> >> >
> >>
> >> Hi,
> >>
> >>
> >> Well, I'm not really sure but it seems that one-minute bars have so
> >> many trades (assuming your contract is at least somewhat liquid)
> >> that these errors should pretty much cancel out and stop being a
> >> problem.
> >>
> >>
> >>
> >> ----- Original Message -----
> >>
> >> From: Louis Préfontaine
> >>
> >> To: amibroker@xxxxxxxxxxxxxxx
> >>
> >> Sent: Monday, June 23, 2008 9:40 AM
> >>
> >> Subject: Re: [amibroker] Re: Questions for people using automatic
> >> transactions with IB
> >>
> >>
> >>
> >> Hi,
> >>
> >>
> >>
> >> I wonder if the problems with HFAT can happen in « normal »
> >> trading. I mean: if I trade with 1-minute bars, I will build a
> >> system with data that has been revised at the end of the day. E.g.
> >> the data errors will not be there anymore. However, in real-time
> >> trading, those errors will be there.. So how can one deal with
> >> this, even without automatic trading?
> >>
> >>
> >>
> >> Louis
> >>
> >>
> >>
> >>
> >>
> >> 2008/6/23 reinsley <reinsley@xxx>:
> >>
> >>
> >>
> >> thank you, I discovered the use of static var on that occasion and
> >> now
> >>
> >> this point is much better.
> >>
> >>
> >>
> >> Too many things are missing in my formula, I can't ask help as it
> >>
> >> could seem that i'am asking for a ready-made solution. I have to keep
> >>
> >> my cards when I'll be trapped.
> >>
> >> I need to scambled for the archive first.
> >>
> >>
> >>
> >> Regards
> >>
> >>
> >>
> >>
> >
> >
>
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