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

[Synergy <Synergy@xxxxxxxxxxxxxxxx>]

Thank you Alex,
Yes, very interesting idea .
I understand well the principle even if the mathematics is a bit 
esoteric to me.
And will certainly try it in some cases where others simple methods 
cannot be applied.
Thank you very much for your idea and answer.
Sincerely.
Philippe

Alex Matulich wrote:

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