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Ok boys here is the BIG COMBO answer to everyone
Canyon678@xxxxxxx wrote:
> Hi Hans, Editorial,Mark,
>
> Good notes like this die down . I dont know why ?
for me: Im flooded with private messages, suggestions, ideas, workarounds
(tm OR) ALL good and bad and testing those to overcome the problem:
I **think** using 405 minute bar charts may be the best for S&P - Im not sure,
as Im still stunned by that discovery I made here REALTIME !
TJ wrote:
> now that ya mentioned it, i'd like to know why mr zebra first said that "+
> I know of BOUNCING TICKS - as some people tried to explain this problem
> to me privately - it OBVIOUS cant be part here" and then the "z" said "What
> it is here, is the good ole BOUNCING TICKS - but much worse than I ever
> assumed."
>
> well, a bouncing tick problem would have been my first troubleshooting
> thingy to suggest, but zebra said otherwise.
you see - even ZEBRAS can be wrong !
> it suggests that mr. zebra doesn't always know what it's it's talking about,
glad you are
> or mr. z can not communicate clearly.
thats what my wife says too.
With "knowing" of the BT_problem for some 4 years, I was sure it cant be part
here as Im talking REALTIME data received REALTIME and the BT is a
SIMULATION which OR uses on HISTORICAL data!
in very short: BT is the problem that TS does not know whether the low or high
was seen first in a DAILY BAR..... agreed on HISTORIC files I can
understand the problem. BUT my thing has happened REALTIME. Therefore
I didnt believe it was it - but as people described privately as they had it hapen
to them too, it really is - therefore I had to change my statement, at least I can
DO THAT if I see that I been wrong !
> if the zebra has a white box system, then mr. zebra can code around the
> deficiencies.
for the umpteeth time - yes it can be done - BUT using the BUILT IN STOP is
a desaster and TS changes the TRADES which have APPEARED on the
screen in REALTIME after the day with HINDSIGHT - this should not happen
at all !!!! THATS MY POINT !
in short words: TS IS CHEATING !!!! - to be friendly !
Patrick White wrote:
> With features like this, who needs bugs?
no comment :-)
"Sentinel" <rjbiii@xxxxxxxxx> wrote:
> I have to take a stab at this because some time ago I said on this list
> that my systems were running a little differently on 2000i, this is
> problem that I was referring to.
>
> When running a system on Daily Bars During the market day TS knows how
> the Daily Bar is being built and where and when prices on the bar were
> reached, and the system reacts properly. When you close the chart or
> reload the Data it no longer knows this information and reverts to the Old
> Bouncing Tick Theory,
again: what has happened to me was ALL REAL TIME - no reload or anything
like that - thats my very point !
> and Omega's assumption of how the Bar was
> formed, and will show different results. I also think that if you generate
> orders for the next bar you would not get your exit until the next day.
>
> If you were to rewrite the system to refer to Daily Data and run on
> Interaday Data this problem is minimized.
sure there are WORKAROUNDS (tm OR) - but it just cant be accepted that
TS changes a KNOWN TRADE with HINDSIGHT knowledge with is clearly
2nd class to REALTIME knowledge
OurMate <g> wrote:
> So what you are saying, Hans, is that you and Mark Down are WRONG and
> that PO and I are RIGHT? What you are saying is that this is indeed a
> FEATURE and NOT A BUG? Is that right?
Im glad that PO didnt comment - thats to his credit as he does not have
realtime data and would not qualify, well done pete.
To OM: Im positively suprised you havent replied for 24hours - looks as you
first time had some insight in a problem - in difference to your usual rambling
of : if you dont PRODUCE you cant complain - thanks
rgds hans
PS: to lots more private mails, which I didnt mention and havent been able to
answer ....
PSPS: below is the lengthy post from BF which explains the BT problem - I
still dont accept the fact that this is a VALID excuse here to be used for
"market simulation" as my data was REALTIME and the trade was REALTIME
> Subj: CL_Re: Bouncing-Ticks
> From: bfulks@xxxxxxxxxxxx (Bob Fulks)
> At 11:16 AM -0400 6/13/99, Mben@xxxxxxx wrote:
>
> >Can anyone explain how bouncing ticks works ? Anyone have any idea as
> >to how close this comes to replicating actual trading on daily data ?
> >What assumptions does TS make about order execution on daily bars when
> >more than one order is triggered ? Is this information documented
> >anywhere ? I checked on-line help and the manual but could not find
> >anything. Does anyone know if Bill Brower ever wrote this up in TS
> >Express ?
>
>
> There is a fairly complete description in the on-line help system in
> TradeStation 4.0 the text of which is reproduced below. Please see the
> actual help data for several pictures.
>
> Omega often gets criticism for this and you might not agree with using
> the technique. But they clearly admit that it is a "simulation of
> market activity" to get around the problem of not having detailed price
> movement within a bar. And as a "simulation", it might be as good as
> you can get without more detailed information...
>
> Bob Fulks
>
> -----
>
> Understanding How TradeStation Simulates Market Activity with
> Historical Data
>
> When you apply a trading system to a chart of time-based bars based on
> historical data, TradeStation uses a set of rules to simulate market
> activity. It is important to understand how TradeStation handles the
> simulation of market activity on time-based bars when you are testing a
> trading system on historical data, for example 60-minute bars or daily
> bars, based on historical data (non-real-time/delayed data, either
> intra-day or daily).
>
> It is equally important to understand this simulation if you use
> historical data on time-based bars when you make the trades signaled by
> a trading system because if you trade a system on time-based bars based
> on historical data, TradeStation uses the same simulation described in
> this section.
>
> Note: Time-based bars are any bars not based on ticks. For example,
> 1-minute bars, 60-minute bars, daily bars, etc. are all time-based
> bars. They plot the open, high, low and close price of all transactions
> that occur within the specified time period. On the other hand, 1-tick
> bars, 10-tick bars and 50-tick bars are all examples of bars that are
> based on ticks, or transactions, rather than on time. Tick bars (except
> for 1-tick bars) plot the open, high, low and close price for the
> specified number of transactions; 1-tick bars plot the price of a
> single transaction.
>
> The information in the next two headings can help you understand how
> TradeStation handles the simulation of market activity on time-based
> bars. The information in the first heading provides a frame of
> reference by describing how TradeStation handles the entry and exit
> orders of a trading system applied to time-based bars based on
> real-time/delayed data.
>
> The information in the second section describes the different way
> TradeStation handles the entry and exit orders of a trading system
> applied to time-based bars based on historical data (either intra-day
> data pasted into the Omega Server or daily data in a supported format).
> Understanding How TradeStation Handles Entry and Exit Orders on
> Time-Based Bars Built with Real-Time/Delayed Data
>
> Every trading system should be designed with two signals: a signal that
> specifies the conditions in which you want to enter the market, and a
> signal that specifies the conditions in which you want to exit the
> market. Generally speaking, a part of each signal is the price level at
> which you want to enter or exit the market.
>
> When you are working with time-based bars based on real-time/delayed
> data, TradeStation receives price data tick-by-tick (transaction by
> transaction) and builds time-based bars from that tick-by-tick data. As
> each transaction is received, TradeStation calculates whether or not
> the entry or exit criteria of an applied trading system is triggered by
> that transaction. If a transaction is received that matches the entry
> criteria of the system, TradeStation issues the entry signal at the
> exact moment the transaction is received. If a transaction is received
> that matches the exit criteria of the system, TradeStation issues the
> exit signal at the exact moment that transaction is received.
>
> Therefore, it is possible to both enter and exit the market on the same
> time-based bar in the event that, within the same time-based bar, a
> transaction triggers the entry criteria of your system first, then
> within the same time-based bar a transaction triggers the exit criteria
> of your system. TradeStation handles both signals in the order in which
> the transactions are received on a real-time/delayed basis.
>
> If the exit signal of a trading system is triggered first in a
> time-based bar in which both the entry and exit criteria of a system
> are met, TradeStation handles the exit criteria in the following ways:
>
> If you do not have an open position and a transaction triggers the exit
> criteria of your system first and then a later transaction triggers the
> entry criteria, TradeStation ignores the exit criteria (because at the
> time there is no open position to exit) but issues the entry signal to
> open a position.
>
> If you do have an open position and on the same time-based bar a
> transaction triggers the exit criteria of your system and then a
> transaction triggers the entry criteria of your system, TradeStation
> shows the open position as having been liquidated due to the exit
> criteria, then would show a new open position based on the entry
> signal.
>
> As you can see, when you apply a trading system to a time-based chart
> based on real-time delayed data, TradeStation can calculate the entry
> and exit criteria of your trading system with great precision and enter
> and exit the market based on exactly what is happening in the market
> when one or more of the criteria of your system are met.
>
> Understanding How TradeStation Handles Entry and Exit Orders on
> Time-Based Bars Built with Historical Data
>
> The information in the previous heading provided a frame of reference
> for you by covering the way TradeStation handles the entry and exit
> signals generated by a trading system when applied to a time-based
> chart based on real-time/delayed data.
>
> Before you can understand the way TradeStation simulates market
> activity when you apply a trading system to a chart of time-based bars
> based on historical data, you need to understand why it is necessary
> for TradeStation to simulate market activity when you apply a trading
> system to a chart for time-based bars based on historical data.
>
> When you work with time-based bars based on historical data,
> TradeStation cannot know the chronological order of the transactions
> that make up the bar. The only transactions we can be sure of with
> time-based bars based on historical data are the open, which occurred
> first, and the close, which occurred last. With time-based bars based
> on historical data there is no way to be sure whether the market opened
> and then went down, or the market opened and then went up.
>
> However, because of the importance of the order of the ticks when you
> have applied a trading system to time-based bars based on historical
> data, Omega Research spent a great deal of time studying the movement
> of various markets to discover a way to determine the most likely
> chronological order of the high and low ticks.
>
> After extensive research, a general rule was established about the
> chronological order in which ticks occur. Under this rule, if the open
> of the bar is closer to the low of the bar than to the high of the bar,
> TradeStation handles the bar as if the low was reached first and then
> the price went to the high before moving to the close. If the open
> price of the bar is closer to the high of the bar, then TradeStation
> handles the bar as if the high was reached first, and the price went to
> the low before moving to the close.
>
> The order of the transactions that make up the bar becomes very
> important when you apply a trading system to time-based bars based on
> historical data. For example, if you had no market position and the
> entry and exit criteria of the trading system were both triggered on
> the same bar, which signal was triggered first is a very important
> issue.
>
> If the exit criteria of the system were triggered first, TradeStation
> would ignore the exit signal (because there was no market position to
> exit) and, when the entry signal was triggered on the same bar,
> TradeStation would issue the entry order, showing you as having opened
> a new position.
>
>
>
> Order in which transactions are assumed to have been made
>
> The bars in the above figure show the order in which TradeStation would
> assume transactions had occurred. In the above figure, transactions are
> marked 1, 2, 3 and 4. The open price of a bar is always number 1. The
> close price of the bar is always number 4. The numbers 3 and 4 are used
> to designate the most likely chronological order of the high and low
> ticks.
>
> Rarely does the market strictly follow the 1, 2, 3, 4, order
> illustrated in the previous figure. Instead, the market bounces up and
> down. For example, even on a day when the market climbs in a relatively
> steady manner, there are brief dips followed by still higher highs.
>
> When you apply a trading system to a chart based on historical data, a
> special TradeStation innovation called Bouncing Ticks was created to
> simulate the irregular up and down way the market really moves, even
> during an up-trend or a down-trend.
>
> The way the Bouncing Ticks function works is simple enough to
> understand: When market conditions trigger the entry signal of your
> trading system (either long or short), TradeStation bounces back by a
> particular percentage that you can specify. If, within that percentage,
> there is a price that would trigger the exit criteria of your system,
> TradeStation exits the position on the same bar on which you entered
> the position.
>
> Here is the major reason that TradeStation simulates market activity in
> this way: During actual market activity, chances are extremely high
> that once the entry signal of your trading system is triggered the
> market would turn against you by a certain percentage. When testing a
> trading system on historical data, you need to take this normal
> bouncing market activity into account, particularly when you design
> your system's exit criteria. For example, in real-time market
> conditions, when the market turns against you, you have no way of
> knowing if the market will rebound in your direction. Your system
> should have been constructed in such a way that it exits your position
> before you sustain losses that you cannot afford.
>
> When testing a trading system on a time-based chart based on historical
> data, it can signal a flaw in your trading system if the system
> repeatedly enters and exits on the same bar. In such a case, we
> recommend that you re-examine the rules of your system and redesign the
> entry and exit criteria so that the exit criteria of the system
> liquidates your open position only when the market takes a significant
> turn against you.
>
> Setting the Bouncing Ticks Option
>
> As detailed in the previous heading, TradeStation uses an exclusive
> feature called Bouncing TicksTM to simulate actual market activity when
> you apply a trading system to time-based bars based on historical data.
> The percentage that TradeStation bounces back in order to simulate
> market activity is, by default, 10 percent of the total price range of
> the bar. For example, if the high of the bar were 100 and the low were
> 90, TradeStation would bounce back one point whenever the entry signal
> of a trading system was triggered.
>
> The following provides directions for changing the default percentage
> that TradeStation bounces back when the entry criteria of a trading
> system are triggered when you apply a trading system to time-based bars
> based on historical data.
>
> 1. Use the Tools - Options menu sequence to open the Options dialog. 2.
> Click the System tab to produce the System dialog. 3. In the Percent
> increment for Bouncing Ticks edit box, delete the
> current value (by default, 10 percent) and enter a new value.
> 4. Click OK to return to TradeStation.
>
> Omega Research decided on the default of 10 percent after extensive
> research into how the markets move during the trading day. We recommend
> that you not change the default unless you are testing the system to
> determine how it performs in what might be considered non-typical
> market conditions.
>
> See Also:
>
> Understanding Trading System Signals in a Chart
> Using the System Report to View System Results
> Using the System Equity Indicator During Testing
> Specifying Trading System Input Values
> Adjusting Trading System Profit-Loss Results for Costs
> Using Stops to Limit Your Potential Losses
> Setting Entry Limits on Trading Systems
> Understanding Trading System Order Types
> Specifying Trailing Stops
> Deleting and Turning-Off Systems
>
> Formatting Trading System Colors and Style
>
> Other relevant chapters are:
>
> Chapter 13, Getting to Know Trading Systems
>
> Chapter 15, Optimizing Your Trading Systems
> Chapter 16, Automating Your Trading Systems
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