Re: Resolution and backtesting - Validity of backtesting and monitoringintraday systems in real time ?

[Alex Matulich <alex@xxxxxxxxxxxxxx>]

>Now problem is  : if a position is to be either exited, reversed  or 
>entered within a 30 minutes bar, the system need to calculate *at that 
>time*

I would recommend trading on a 1-minute data stream, and write your
calculations to account for the finer resolution.  For example,
if you're calculating the 10 bar ATR off 30 minute bars, you can
instead calculate a variable range30min = highest(30)-lowest(30),
then ATR = w*range30min + (1-w)*ATR[1]; where w=2/(30*10+1).  This
will give you a very smooth version of a 10-bar ATR of 30-minute
bars, calculated on 1 minute bars and updated every minute.

-Alex