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Mark,
Now we are getting somewhere.
This has been my experience empirically. I have a system that trades on 45
minute bars that CAN NOT enter until 10:00CT. I can see the action in the
market as it anticipates all of the "systems" kicking in. It will either run
up in an up trend or run down in a down trend, making the system entry less
effective or necessitating wider stops to account for this. So I agree that
phasing a system could increase performance. I just havn't been able to test
it with 2000i.
How was the hour shifted?
eric
----- Original Message -----
From: Mark Jurik <mark@xxxxxxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Friday, March 10, 2000 6:12 PM
Subject: FW: Natural hour bars
> 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
>
>
> ----------
> 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
>
>
>
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