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In tracing differences between various versions of OddBall, I found a
lot more possible sources of error than I had thought of before -
mostly related to missing data bars in data1 or data2. TradeStation
gives you some strange behavior if there are bars missing in either
data series in a multiple data series chart.
On bars with data1 missing but data2 present, the code will be
executed but the CurrentBar value will NOT be incremented and the new
value of variables will NOT be saved - very strange. The data1 values
(Time, Date, Close, etc.) will be the values from the last real data1
bar.
Bars with data2 missing but data1 present will be executed normally.
The data2 values (Time, Date, Close, etc.) will be the values from
the last real data2 bar.
(This is from testing in TS2000i - it could be different in other
versions...)
Needless to say, this plays havoc with the OddBall scheme of
referring back 7 bars and expecting to find the corresponding time
bar from yesterday!
To trace these, I created an error reporting function that will print
a log of all errors in the debug log. Each bar with errors prints a
line in the log listing the error codes. A bar can have multiple
errors. An example of the log with the error codes is appended below.
Note that the error count does not always increment (because the
data1 bar is missing).
This list of the errors was for the original OddBall code running on
four years of my data. (60 minute natural hour bars) Every error
results in an incorrect calculation of the rate-of-change for that
bar so could cause a spurious change in the trading position. There
are 124 bars with errors in the list below (but I omitted most of
them from the middle of the list to shorten the message).
Many of the errors are due to short trading days near holidays as we
have discussed previously, but there are still a lot due to missing
data bars. As an example:
Count Days ---Cursor-- CurrentBar1 CurrentBar2 --RefBar1-- --RefBar2-- LDate1 LDate2 j k Error
1 124 980701 1000 980630 1600 980701 1000 980629 1600 980630 1000 980629 980629 0 7 B1 D2
This finds that on chart bar of 7/1/98 at 10:00am, the data1 bar is
missing. The values on data1 will show 6/30/98 4:00pm even though the
bar isn't there.
1 125 980701 1100 980701 1100 980701 1100 980630 1000 980630 1100 980630 980701 0 7 D2 T1
As a result, on the chart bar of 7/1/98 at 11:00am, the time on data1
and the date on data2 seven bars back are not correct. Note that the
error count on column 1 did not increment because calculated value:
"Count = Count + 1" was not saved because the data1 bar are missing.
Perhaps this helps explain why people have been getting such
different results with the original OddBall code...
I will try to test other OddBall code versions later. Clearly we
would need to use some more robust way of implementing OddBall if we
want to prevent errors due to missing data bars and short trading
days.
Bob Fulks
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Error Codes:
ID = Z [Zero divisor in Rate-of-Change Calculation]
ID = B1 [On this bar data1 bar missing, data2 bar present]
ID = B2 [On this bar data2 bar missing, data1 bar present]
ID = T1 [Time on bar back in time is wrong in data1]
ID = T2 [Time on bar back in time is wrong in data2]
ID = T [Time on bar back in time is wrong in data1 and data2]
ID = D1 [Date on bar back in time is wrong in data1]
ID = D2 [Date on bar back in time is wrong in data2]
ID = D [Date on bar back in time is wrong in data1 and data2]
Column Headings:
Count Error count (but it will not increment if missing data1 bar)
Days The day number since the beginning of test
Cursor The date/time at the cursor on a chart (to locate bars)
CurrentBar1 The date/time of current bar data1
CurrentBar2 The date/time of current bar data2
RefBar1 The date/time of bar back in time data1
RefBar2 The date/time of bar back in time data2
LDate1 Saved date of the previous trading day data1
LDate2 Saved date of the previous trading day data2
j The index j (if used, zero if not used)
k The index k (bars back to reference bar)
Error Error codes for this bar (see above)
Count Days ---Cursor-- CurrentBar1 CurrentBar2 --RefBar1-- --RefBar2-- LDate1 LDate2 j k Error
1 124 980701 1000 980630 1600 980701 1000 980629 1600 980630 1000 980629 980629 0 7 B1 D2
1 125 980701 1100 980701 1100 980701 1100 980630 1000 980630 1100 980630 980701 0 7 D2 T1
2 125 980701 1200 980701 1200 980701 1200 980630 1100 980630 1200 980630 980701 0 7 D2 T1
3 125 980701 1300 980701 1300 980701 1300 980630 1200 980630 1300 980630 980701 0 7 D2 T1
4 125 980701 1400 980701 1400 980701 1400 980630 1300 980630 1400 980630 980701 0 7 D2 T1
5 125 980701 1500 980701 1500 980701 1500 980630 1400 980630 1500 980630 980701 0 7 D2 T1
6 125 980701 1600 980701 1600 980701 1600 980630 1500 980630 1600 980630 980701 0 7 D2 T1
7 126 980702 1000 980702 1000 980702 1000 980630 1600 980701 1000 980701 980701 0 7 D1 T1
8 229 981127 1500 981127 1400 981127 1500 981125 1400 981125 1500 981125 981125 0 7 B1
8 229 981127 1600 981127 1400 981127 1600 981125 1400 981125 1600 981125 981125 0 7 B1
8 230 981130 1000 981130 1000 981130 1000 981125 1500 981127 1000 981127 981127 0 7 D1 T1
9 230 981130 1100 981130 1100 981130 1100 981125 1600 981127 1100 981127 981127 0 7 D1 T1
10 230 981130 1200 981130 1200 981130 1200 981127 1000 981127 1200 981127 981127 0 7 T1
11 230 981130 1300 981130 1300 981130 1300 981127 1100 981127 1300 981127 981127 0 7 T1
12 230 981130 1400 981130 1400 981130 1400 981127 1200 981127 1400 981127 981127 0 7 T1
13 230 981130 1500 981130 1500 981130 1500 981127 1300 981127 1500 981127 981127 0 7 T1
14 230 981130 1600 981130 1600 981130 1600 981127 1400 981127 1600 981127 981127 0 7 T1
15 248 981224 1400 981224 1400 981224 1300 981223 1400 981223 1300 981223 981223 0 7 B2
16 248 981224 1600 981224 1400 981224 1600 981223 1400 981223 1400 981223 981223 0 7 B1 T2
16 249 981228 1000 981228 1000 981228 1000 981223 1500 981223 1500 981224 981224 0 7 D T
17 249 981228 1100 981228 1100 981228 1100 981223 1600 981223 1600 981224 981224 0 7 D T
18 249 981228 1200 981228 1200 981228 1200 981224 1000 981224 1000 981224 981224 0 7 T
19 249 981228 1300 981228 1300 981228 1300 981224 1100 981224 1100 981224 981224 0 7 T
20 249 981228 1400 981228 1400 981228 1400 981224 1200 981224 1200 981224 981224 0 7 T
21 249 981228 1500 981228 1500 981228 1500 981224 1300 981224 1300 981224 981224 0 7 T
22 249 981228 1600 981228 1600 981228 1600 981224 1400 981224 1600 981224 981224 0 7 T1
23 289 990226 1000 990225 1600 990226 1000 990224 1600 990225 1000 990224 990224 0 7 B1 D2
23 289 990226 1100 990225 1600 990226 1100 990224 1600 990225 1100 990224 990224 0 7 B1 D2
23 290 990226 1200 990226 1200 990226 1200 990225 1000 990225 1200 990225 990226 0 7 D2 T1
24 290 990226 1300 990226 1300 990226 1300 990225 1100 990225 1300 990225 990226 0 7 D2 T1
25 290 990226 1400 990226 1400 990226 1400 990225 1200 990225 1400 990225
<Big snip>
93 932 1010917 1600 1010917 1600 1010917 1600 1010911 1200 1010910 1600 1010911 1010910 0 7 T1
94 980 1011123 1400 1011123 1400 1011123 1300 1011121 1400 1011121 1300 1011121 1011121 0 7 B2
95 980 1011123 1600 1011123 1400 1011123 1600 1011121 1400 1011121 1400 1011121 1011121 0 7 B1 T2
95 981 1011126 1000 1011126 1000 1011126 1000 1011121 1500 1011121 1500 1011123 1011123 0 7 D T
96 981 1011126 1100 1011126 1100 1011126 1100 1011121 1600 1011121 1600 1011123 1011123 0 7 D T
97 981 1011126 1200 1011126 1200 1011126 1200 1011123 1000 1011123 1000 1011123 1011123 0 7 T
98 981 1011126 1300 1011126 1300 1011126 1300 1011123 1100 1011123 1100 1011123 1011123 0 7 T
99 981 1011126 1400 1011126 1400 1011126 1400 1011123 1200 1011123 1200 1011123 1011123 0 7 T
100 981 1011126 1500 1011126 1500 1011126 1500 1011123 1300 1011123 1300 1011123 1011123 0 7 T
101 981 1011126 1600 1011126 1600 1011126 1600 1011123 1400 1011123 1600 1011123 1011123 0 7 T1
102 1001 1011224 1400 1011224 1400 1011224 1300 1011221 1400 1011221 1300 1011221 1011221 0 7 B2
103 1001 1011224 1600 1011224 1400 1011224 1600 1011221 1400 1011221 1400 1011221 1011221 0 7 B1 T2
103 1002 1011226 1000 1011226 1000 1011226 1000 1011221 1500 1011221 1500 1011224 1011224 0 7 D T
104 1002 1011226 1100 1011226 1100 1011226 1100 1011221 1600 1011221 1600 1011224 1011224 0 7 D T
105 1002 1011226 1200 1011226 1200 1011226 1200 1011224 1000 1011224 1000 1011224 1011224 0 7 T
106 1002 1011226 1300 1011226 1300 1011226 1300 1011224 1100 1011224 1100 1011224 1011224 0 7 T
107 1002 1011226 1400 1011226 1400 1011226 1400 1011224 1200 1011224 1200 1011224 1011224 0 7 T
108 1002 1011226 1500 1011226 1500 1011226 1500 1011224 1300 1011224 1300 1011224 1011224 0 7 T
109 1002 1011226 1600 1011226 1600 1011226 1600 1011224 1400 1011224 1600 1011224 1011224 0 7 T1
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