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Trey wrote:
>I recently read that in order to do portfolio analysis of a system, each
>market must have the same number of data points. The problem is that the
>holidays differ across some markets. I'm using TS to create ascii files of
>daily O,H,L,C which are imported into another program to perform portfolio
>testing. Is there a code to have TS fill the empty holiday bars with the
>previous day O,H,L,C?
I don't believe there's a specific setting to do that (but what do I
know, I could be wrong). However you can do it in EasyLanguage with
some effort. I think the easiest thing is to manually edit your data
files to reflect a repeated quote during holidays. I've actually done
this automatically using an Excel macro, testing to see if any weekday
is skipped and writing a new array with all the days filled in.
>Is this the preferable way to create equal data points
>in each market?
I would think so. For EOD systems it doesn't make much difference,
although I have had cases where a holiday repeated the previous day
which was a big move. The system had filled on the previous close, and
then when the big move repeated again it got stopped out. In reality
that would not have happened.
--
,|___ Alex Matulich -- alex@xxxxxxxxxxxxxx
// +__> Director of Research and Development
// \
// __) Unicorn Research Corporation -- http://unicorn.us.com
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