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NSNR> Intuitively, it is not clear to me that EOD should be better than intra-day.
I guess the simplest intuitive reason in favor of daily bars is the
fact that however small resolution you use, your slippages and
commissions always remain the same. On daily bars and swings
commissions and slippages are thus less of an issue than in the case
of tradable moves on a 5-min chart.
NSNR> Applying old principles of mathematics, at one end take k = smallest time
NSNR> frame and at other end take k* = longest time frame.
NSNR> By definition, a system based on k COULD/SHOULD capture many more swings
NSNR> than the single move from 0 to k*
NSNR> Since EOD lies between k and k*, it is not clear why it is optimal, vs. say
NSNR> weekly or even monthly or 15 minutely.
I guess eventually it depends more on one's preferences than
mathematics. Weekly or monthly bars may be too impractical. Intraday
bars may have too small "moves" for comfortable trading. Or one may be
just too lazy to trade intraday and wants to get everything done in 15
minutes before the markets open. These are just a few points to start
out the otherwise long list of factors.
NSNR> In my trend following system, the 15 minute bars are better than
NSNR> the daily bars.
That's perfect if that's the way you want to trade. But someone else
may want to choose daily bars simply because he does not want to be
glued to the screens all day. So, again, everything depends foremost
on individual preferences.
Ivo Karindi
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