|
PureBytes Links
Trading Reference Links
|
> I just read a response and checked the online manual regarding the
> "bouncing Ticks" method. I guess its better than nothing, but why can't it
> go back and check the system in proper tick order? If I test on "tick
> Bars" will this be an exact simulation?
>
> unitel@xxxxxxxxxxxxxx
On systems I write, I often design them to work on tick data and using EL
I simulate bar lengths, creating my own OHLC. This generally works well
but it is more sophisticated.
The answer to your question as to why TS does not check the system if
proper tick order is because bars are compressed data - the individual
ticks are compressed out and only OHLC is left in the price stream.
This reduces memory requirements, loading time, system time, testing
time, etc. This is not a problem if your bar ranges on the entry/exit
are relatively small compared to the entry/exit range. However, as these
become closer, the error of not using finer granularity data becomes
increasingly significant.
Chris Norrie
|