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----- Message d'origine -----
De : Dennis Holverstott <dennis@xxxxxxxxxx>
À : Omega List <omega-list@xxxxxxxxxx>
Envoyé : samedi 23 octobre 1999 20:36
Objet : Re: with GIFs.....(Fwd) Re: whats this FEATURE ?
> good stuff from pierre on rebuilding the databases
>
> > I cant say for sure but the problem is probably due to the databaseS:
>
> i think, in THIS case, the problem was much simpler. the day in question
> opened in the lower half of the range, then went up, then went below the
> open and closed near the open. in realtime, the system correctly bought
> on a stop near the high and exited on a money management stop when the
> price went down.
>
Probably true if the entry was on the same bar than the exit, but I do not remember if it was the case here.
TS4 makes no difference with daily bars when they are generated by tick files
or true daily ( OHLC) database and when a recalculation occurs.
The only solution to have historical result in this case meeting realtime is to
use intraday bars and evaluate the daily bars from the intraday bars.
Cumbersome, but solved by TS2000i
Sincerely,
PO
> but at the end of the day ts downloaded the daily bar and recalculated
> the system based on that. since the day opened nearer the low, ts
> ASSUMES that the price went down before it went up (wrong in this case).
> so, the stoploss was never triggered on the updated daily data. only by
> setting the bouncing ticks to a high value can you trigger the stop.
>
> of course, doing that will give you other historical trades that are
> wrong the other way.... showing an exit when there was none. if TS2K
> really does use the tick database for deciding the order of trades on
> daily data, i see that as a major improvement.
>
> --
> Dennis
>
>
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