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--- Bob Fulks <bfulks@xxxxxxxxxxxx> wrote:
> At 11:53 AM 9/10/2005, Donald Beck wrote:
>
> >The issue of the chart re-adjusting the bar or
> signal
> >takes place when a price gaps, not because of tick
> >time sequence.
> >
> >If your active order was a buy at 101.10, and
> trades
> >took place at 101.01, .02, .03, .04, .05, .06, .07,
> >.08, then traded at 101.12, the signal would be
> placed
> >at 101.12 (the traded price) so long as you did
> >nothing to refresh the chart data. If you refresh
> the
> >chart data, then the signal would move to 101.10
> (the
> >active order). Therefore when doing historic
> >evaluations and or optimizations for strategies,
> >erroneous results are present.
>
> You do not specify the data compression but if each
> trade were a bar
> (1-tick bars) then the buy signal would occur at
> 101.12. If all of the
> ticks are inside of one bar, then the buy signal
> would occur at
> 101.10, as you say, since the application uses only
> the OHLC data
> after the bar has closed. You can back-test "within
> the bar" to
> whatever resolution you want in TS8 (and maybe
> TS200i - I don't
> recall.)
Assuming something greater than 1 tick compression,
lets say 100 tick bars; In all cases the signal will
be fallaciously better if historic data is used.
Assuming that there is a price gap that the signal
trades through. No idea about 8 (my bet would be the
issue still exists), but in 2000i, if you change
anything that requires the chart to refresh, signals
price points will move.
>
> >In 2000i, the order in which the ticks come in are
> not
> >used in the making of the bar. The only time it is
> >meaningful is on a 1 tick.
>
> That is true on historical data using only the OHLC
> values, obviously.
> Testing inside the bar, you get whatever resolution
> you chose.
You can't test within a bar....at least with 2000i.
> >Omega uses "bouncing ticks" (which is adjustable
> and
> >silly in my opinion) with Omega developed
> assumptions.
> >I know this because I was one of the Beta testers
> and
> >had many conversations with Omega Staff including
> Bill
> >Cruz. This is one issue of many that I pushed on
> very
> >hard (having bought 14 4.0 packages and submitted
> many
> >unknown bugs to them for years on a number of
> products
> >bought me a tiny bit of clout)for change. It took a
> >lot of pushing and in the end they added a
> >non-functional feature in the optimization section.
> My
> >last towel thrown in, I began to try and work
> around
> >issues rather than point them out to them.
>
> The "bouncing ticks" was an attempt to "model" what
> happened within a
> bar when you only have OHLC data. They described it
> accurately and you
> can chose whether or not to use it. The only
> perfectly accurate way to
> back-test is to test within the bar to the 1-tick
> level, which is
> extremely time consuming. Everything else is an
> approximate model of
> what happened.
>
> I never could figure why people care about this
> anyway since a
> back-test is only an approximation of what MAY
> happen in the future.
> The errors from extrapolating past performance into
> the future TOTALLY
> SWAMPS and errors due to when your trade got filled
> within a bar.
For me, the result becomes a cost. No different than
asking the broker what the commission charge is or
figuring in slippage.
For the SPY market I had created some custom
software's that fully automated my trading. Risk,
cash, orders as well as trades were managed. I also
blended and created a synthetic data stream using a
number of financial instruments. In all it was capable
of placing more than 30 orders per minute. Net profit
was to have been a mere .005 per share, per trade
profit. With those very tight margin's everything
becomes critical.
In my current model's development, I can trade with
.25% of cash up. The tighter
>
> >Because my use of 4.0 goes back many years, I don't
> >remember how they handled the data bar issue.
>
> Mine also (about ten years) and I switched from
> using TS4 and TS2000i
> to TS8 years ago so it is hard to remember much
> about them. I cannot
> imagine why anyone would still be using TS4 with all
> it's limitations.
It has been my experience that in some cases living
with some limitations may in the balance make sense.
I drive a car that does not have all the technological
developments created over the past 25 years. Far more
dependable than new models.
Soooooo the newest, latest may or may not be the best.
> Bob Fulks
>
>
>
>
>
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