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Hi,
This email is directed at those people who have had the opportunity to
compare the same trading model results obtained on daily data and then
compared the results on intraday. In particular this will affect short
term systems where we attempt to put the stop very close i.e. smaller
than the average daily range. When we run a system on daily only it
gives the impression of profit, but what we can't see is how often the
model is stopped out because of intraday fluctuations, while the
intraday will clarify the answer.
My question is for those people who have done that comparison. How much,
and what is the best way to degrade daily results so that they approach
the accuracy or validity of the REAL simulated results obtained via tick
data if tick data isn't available? Obviously the answer will vary
enormously from system to system, and even market to market, but a
general idea brings us closer to the tee than not.
TS has the ability to use bouncing ticks. We can alter the win/loss
ratio and/or win%, or we can simply increase slippage...but by how much
might we alter these parameters? The amount is crucial as too much will
destroy what might be a good system, while too little and you may end up
trading a losing model.
Look forward to peoples response and idea's
Regards,
Adrian
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