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After seeing a few people post systems that work off hourly bars, I thought
it might be interesting to look at the markets on 1 min bars around the end
of each hour and see if there is anything noteworthy: increased volatility,
spikes one way or the other, batman masks..... I ain't gotten around to it
yet.
Kent
-----Original Message-----
From: Mark Jurik <mark@xxxxxxxxxxxx>
To: 'omega-list@xxxxxxxxxx' <omega-list@xxxxxxxxxx>
Date: Friday, March 10, 2000 6:44 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
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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
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