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> Gary, thanks for the helpful explaination and suggestion.
> when you say "turn off the tick by tick evaluation" - I'm not sure precisely
> what you are suggesting..
I actually haven't used TS in a while. But there's a setting somewhere that
specifies whether it evaluates the system after each tick is received in
realtime, or only when the bar closes.
> would coding the signal to 'Buy at market this bar at close' be what you
> mean?
> or, 'Buy next bar at open' ..
I don't think "Buy at close" would help, since I think each tick as it arrives is
considered a "closing tick" for that purpose -- but I'm not sure. "Buy next bar
at open" would probably be safe, since it can't execute until the current bar
closes and the next bar opens.
Gary
> as you mentioned, only taking signals at bar close..
> does this type of order remove the tick by tick evaluation?
> (since the order requires barclose?)
> do i understand it properly?
> orders that use a set stop (limit orders as well i assume) are a seperate
> animal - and should not exhibit this behavior (instability).
>
> jim f
>
>
>
> ----- Original Message -----
> From: "Gary Fritz" <fritz@xxxxxxxx>
> To: "Omega-List" <omega-list@xxxxxxxxxx>; "jim f." <bigbubber@xxxxxxxxx>
> Sent: Saturday, March 15, 2008 5:48 PM
> Subject: Re: signal stability - n00b question
>
>
> > On 13 Mar 2008 at 17:56, jim f. wrote:
> > > i have many systems running - i've noticed at times, that it after a
> > > restart of ts2ki, that signals change or disappear altogether. i can't
> > > understand why.. most my signals have multiple conditions required but
> > > nothing to complex.
> >
> > This often happens if systems issue signals intra-bar. If the signal
> > conditions are purely price oriented -- e.g. it bought when the market
> > exceeded a buy stop price -- then the system will always trigger the same
> > intra-bar or end of bar. If it hit price X intrabar, then your system
> would have
> > triggered immediately at its stop price even if the price fell back before
> the
> > end of the bar.
> >
> > But if you look at other indicators and trigger based on that -- like your
> > multiple conditions, I suspect -- then it's possible for the condition to
> be met
> > intra-bar, then NOT be met by the end of the bar. So if the price fell
> back by
> > the end of the bar, when you look at the end-of-bar conditions by
> re-running
> > the system, your system doesn't trigger.
> >
> > You can avoid this by turning off tick-by-tick evaluation. This means
> that
> > your non-stop-based system won't respond immediately to price changes,
> > which you might not like. But realize that **that's what you
> backtested**. If
> > you want your realtime signals to work like your backtest, and you enter
> on
> > conditions instead of stops, you SHOULD only take signals at the end of
> the
> > bar.
> >
> > Gary
> >
> >
> >
> > > this is probably a real stupid question i know, but, don't overlook the
> > > good karma that will chase you down after helping a dummy :)
> > >
> > > thanks as always,
> > > jim f
> >
>
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