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I'm experimenting with the Oddball system and I have a quick question about
the trade by trade data:
http://www.oddballsystems.com/positions/X.SPX-S0007.txt
Does each entry in this file represent a single bar of data? I see that
some days end at 3:00 PM while most days have an additional bar of data,
3:15 PM. Since Oddball is based on the 7 bar ROC it seems that the extra
(eighth) bar would throw off the results.
Am I right to assume that a testing dataset should contain 7 hourly bars per
day, 9:00 AM through 3:00 PM?
Thanks much!
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