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re: "intrabar path is unknown on historical data...."
NOT COMPLETELY TRUE. This is one area where Bill Cruz or Tom Bierovic were
not thinking....
Example: when tick-based bars are collapsed into 1 minute bars, the order of
the interval's HIGH-LOW can be determined.
They just "forgot" to store this information and use it properly in
backtesting.
The storage cost would have been this: 1 BIT per interval.
WE'VE BEEN GOING CRAZY BECAUSE OF A WHOLE BIT !
> -----Original Message-----
> From: Bilo Selhi [mailto:biloselhi@xxxxxxxxxxx]
> Sent: Wednesday, June 12, 2002 12:42 PM
> To: fritz@xxxxxxxx
> Cc: omega-list@xxxxxxxxxx
> Subject: Re: AW: Unidentified subject!
>
>
> Gary, we are talking about the same thing.
> when i say h[0] - x i mean high of current bar order for this bar
> ie what i ment is h[-1] - x in strict TS terms.
> you can't place an order like this:
> buy next bar high - x
> those orders are not possible in TS, but possible outside of TS.
> ( order like buy next bar high + x is of course not possible )
> anyway...
> best workaround is if high[0] - close[0] >= x then sell or sell market.
> those are possible because the expression is evaluated on the close
> of the bar which TS knows both in real and historical.
>
> but you should be able to do in real time too since in real
> time TS is capable of tracking intrabarhigh - x delta
> if orders like that were allowed then historical results would not
> match the real time results. in fact historical results will be worse
> than real time for "off the pivot" type orders. i know it because
> i have done it in the past. i would take X is pass it to autoexe
> module that would monitor intrabar high and low, etc.
>
> same reason why trailer stops don't work of current high low
> same reason bouncing ticks setting was there... etc..
>
> intrabar path is unknown on historical data.
>
>
> ----- Original Message -----
> From: Gary Fritz
> To: Bilo Selhi
> Cc: omega-list@xxxxxxxxxx
> Sent: Wednesday, June 12, 2002 12:00 PM
> Subject: Re: AW: Unidentified subject!
>
>
> > what's all the confusion.
> > high[0] +- whatever or
> > low[0] +- whatever stop orders are not
> > allowed in TS for one simple fact.
>
> >Well, they ARE, but not the kind of order you're talking about.
>
> >buy high[0] - X stop (or buy high - X stop, which is equivalent) is
> >perfectly legal in TS, but it means "at the close of this bar, place
> >an order on the NEXT bar to buy at THIS bar's High - X."
>
> yes, except
> , but it means "at the close of this bar, place
> an order on the NEXT bar to buy at THIS bar's High[1] - X."
>
> >I think you're talking about an intrabar order which says "if the
> >price WITHIN THIS BAR hits H[0] and then comes down X, instantly buy
> >at the market."
>
> not really market, stop ( but who cares ) ...
> i want to buy if intrabarclose - intrabarlow >= X, on first occurance.
> ie every time a new low is set i put a stop order of that low X
> points higher
> or, like you said go at market, at low + X ( all examples ), same thing.
>
> >You can't do that in TS because you can't issue buy orders intrabar.
> >System code doesn't run until the close of the bar.
>
> yes, the point i was trying to make.
> other point is that for a stop set on [1] the system code will
> run intrabar...
> else will run only on close of bar.
> reason is same... to be able to show limits and stops...
>
> >However, you can get basically the same results by going to a shorter
> >bar. So e.g. if you were trying to run that strategy on 60min bars,
> >you could instead run it on 1min bars. You would then have to track
> >the recent high and wait for it to come down X. You could test the
> >price against RecentHigh-X at the close of each 1min bar, or you
> >could set a limit order at RecentHigh-X. With the buy limit order,
> >the results should be very similar to the hypothetical case you're
> >talking about.
>
> nuh, too much ...
> ideally we need high resolution trading platform totaly based on
> tick data where intrabar tick by tick path is known, or at least
> 1 min resolution. then we won't have problems like this.
>
> like i said this can be solved with external autoexecution module.
> pass X to it an monitor for close - low >= X then go market, all
> of course outside of TS.
> bilo.
>
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