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>So now how do i run my EOD system using the five minute data to get an
>acurate backtest?
OK, assume you are using a 1 point/$250 stop on the S&P, and to make it easy
let's assume most S&P 5 minute bars have ranges >= 1 point. There
is no way to know if your stop could have been hit on the entry bar unless
you look down to the tick level using historical data. TS might assume it's
not hit, but that may or may not be true.
Test your system with no stops. Does it still make $? If it falls apart with
no stops, or bigger stops, then it could be the stops (and their false
assumptions in a back-test), not the system that's "making" money.
Understand: OHLC data is just OHLC. That is all the info you and TS have
about each bar. BT's are just guessing what happened inside those bars.
In short, you need to be your system's biggest critic. Think about ways your
tests might fail to show you the truth. If you blue-sky yourself you'll pay
for it.
BW
>From: "Cameron Jones" <camster@xxxxxxxxxxxxxx>
>To: "omega list" <omega-list@xxxxxxxxxx>
>Subject: ok
>Date: Wed, 6 Jun 2001 11:33:16 +1000
>
>Hi All
>
>So i have this sytem , and it uses a tight stop in the S&P. And it does
>really good with tick bounce at 10% , But it is average at 15% and
>pathetic
>at 20% bounce. So i now have 5 min S&P data thanks to don the ledgend.
>So
>now how do i run my EOD system using the five minute data to get an acurate
>backtest?
>Help Please
>
>Regards
>Cameron
>
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