|
PureBytes Links
Trading Reference Links
|
Hello Dion,
DK> Does each entry in this file represent a single bar of data? I see
DK> that some days end at 3:00 PM while most days have an additional
DK> bar of data, 3:15 PM.
actually all days have a 3:15 close price. i include this because
everyone was asking what the sp closed at. it is not used in the
calculations, the 3:15 price that is.
DK> Since Oddball is based on the 7 bar ROC it seems that the extra
DK> (eighth) bar would throw off the results.
actually you can use it if you wish, i have in the past. not saying
it's better or worst.
DK> Am I right to assume that a testing dataset should contain 7
DK> hourly bars per day, 9:00 AM through 3:00 PM?
correct - that was done because i have found that dependability means
as much as anything when it comes to profitability. that's why i do
not use entry stops or mm stops.
also i would like to state that the missing data issues were know by
me as far back a 1992. back then the ned davis platform i ran ob on
created a synthetic data price to fill any missing data. it just
assumed that using the last most recent data as a proxy was good
enough. so if you had a last price on a holiday at 12 noon it would
carry that price on to the 3 o'clock close.
years latter when ts came along i re created this in ts using a dll
and some other fancy stuff to create a real time perpetual futures
contract also. after much testing and thinking i decided to use what i
had and make due with it. my thinking was about dependability again
and any idiot could just let the thing run as is. i actually had
better results allowing this seemingly random event to take place, so
i decided to leave it. i have been happy with things that way there
are but i am certain as i have maintained there is room for
improvement.
i certainly know there are better way to do some things but my
intentions were to give away something robust that could withstand
much punishment. i am very appreciative to all those who have opened
the flood gates of giving and working together, thank you all!
DK> Thanks much!
--
Best regards,
Mark
|