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FW: Natural hour bars



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Here's a nice piece of research regarding the phasing of hourly bars...

I was shown results of a trading system on the S&P that used hourly bars.  In this experiment, the same system was run on the same data, however, each time it was run, the hour was shifted by 1 minute.  So in the first run , the hourly bars were on 9:00, 10:00, etc.  On the second run, the bars were set on 9:01, 10:01, etc.  In total, sixty runs were made.  

On a chart, the overall net profit of each run was plotted with phasing along the x-axis.   The curve was smooth and net profit plummetted like a notch filter response curve at precisely when the bars were 9:00, 10:00. etc.  You get superior performance when the bars are phased out by 20 minutes or so, that is, when the bars are 9:20, 10:20, etc.  

So, what would be the reason?   I like to think that if you based your trades on the same signals as everyone else, then you have to share the potential profits with a very large crowd.  Does that make sense?  Any other viewpoints?

- Mark Jurik


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From: 	TradeWynne@xxxxxxx[SMTP:TradeWynne@xxxxxxx]
Sent: 	Friday, March 10, 2000 9:31 AM
To: 	usergroup@xxxxxxxxxxx; jsnowden@xxxxxxxx; omega-list@xxxxxxxxxx
Subject: 	Re: Natural hour bars

In a message dated 3/10/00 8:15:55 AM Pacific Standard Time, 
elangley@xxxxxxxxxxx writes:

> My bars are now set up like this;
>  8:30CT - 9:15CT
>  9:15CT - 10:00CT
>  
>  If I could make the first bar 40 minutes long then the rest of the 45 min

Eric:

Although not a perfect solution, you could change the symbol universe start 
time to say 8:25CT and use 45 minute bars. This makes "the first bar 40 
minutes long and the rest 45."

Bill Wynne
SmartTrades.com