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Basic tenets:
- The markets are fractal
- Multiple timeframes are important to assist in staying with a larger
timeframe trend than that timeframe one is trading.
Observation:
- The look of the bars for different timeframes is different (c.f., eod
bars vs. 5 min bars vs. 30 min bars)
- This difference in "look" is a function of specific characteristics of
bars that may be specified as mathematical expressions. (How can this point
be stated more accurately and clearly?)
Proposition:
- The same system backtested on different timeframes will have varying
results partially because the system will turn out to be better or worse at
leveraging the opportunities implicit in a specific timeframes bar
characteristics/expression list.
Question:
- What are the specific mathematical expressions that, taken as a set,
account for the difference in "look" across timeframes?
Untested First Cut at the Expression List:
- Average True Range of timeframe 1 for last x number of bars / Average
range of price intersection at timeframe 1 from bar to bar for last x number
of bars
- Average True Range of timeframe 1 for last x number of bars / Average
True Range at Timeframe 2 of last x number of bars (there is a proportionate
relationship between Timeframe 1 and 2, c.f., Elder's "Factor of Five")
Thoughts about this expression list? What didn't I get right? What have I
missed?
Anyone know of writing in the public domain on this topic? (Crabel is
getting at this for eod right? But has anyone written a cross-timeframe
study?)
Steven Buss
Walnut Creek, CA
sbuss@xxxxxxxxxxx
"There's nothing more practical than good theory."
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