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Bob Fulks wrote:
At 08:57 PM 8/23/2007, Simon Dawson wrote:
Of course, being on a TS list, using TS, there's nothing you can do about it. I mention it in passing, if you're wondering why systems that are faster than your data might be misbehaving.
Short version: Don't trust TS to accurately estimate sub-bar signals.
TradeStation has long had back-testing "within the bar" to test your strategy to any resolution you would like such as every minute, 10 minutes, etc., of a daily bar, for example.
It's not that it doesn't have it - it's that you shouldn't depend
-heavily- on TS' interpretation of that intra-bar movement to be
accurate. Ie, if at all possible, move to shorter timeframe data.
I am always amused when I hear people talk about minute errors in back-testing. The only really important error you need to worry about is that your future data will not be at all like your past data. All other errors are trivial by comparison.
*shrug* this is a reasonable point. However in some markets combinations
of these issues resulted in differences of several thousand percent.
Mostly though, yes, you are correct.
To recap:
With MaxBarsBack 50, on bar 50, Average(Close,15) calculates, but Average(Close,15)[anything] doesn't - even though there IS data there that could be used.
So, if you want accurate signals, but you're referring to, say, 5 bars ago, you actually need to wait until MaxBarsBack+5 before you can trust anything that comes out of TS.
What TradeStation does with initialization is well specified. For most cases it works well automatically and does not require the user to do anything. You can certainly find cased where it isn't perfect and fix it with a line or two of code, if you care.
I'm not trying to say that any of this would be a surprise, or even
particularly difficult to resolve - merely that awareness is necessary
in these areas, otherwise unexpected things can and will occur.
The reason I posted was simply to summarise a few interesting behaviours
I'd discovered. None of it will be news to the more experienced or
attentive TS users on the list, such as yourself (there was a reason I
included you in my list of people I'm grateful to for contributing so
much to the list, although I regret not also mentioning Alex) - however,
I merely aimed to help those less familiar, a summary of a few "traps
for young players", if you will.
Kind Regards
Simon
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