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> >But if I'm working on a day trading system, I have the same
> >problem trying to apply same-day order changes to 5-minute
> >bars or 1-minute bars or whatever.
>
> I don't understand why you would have a problem.
Sorry to take so long to get back to this.
The period of the bar isn't relevant. If I have a chart with bars on
it, and I say, "I want to enter at this point on this bar," then it
doesn't matter whether that bar is a weekly bar or a 5-tick bar.
> > OHLC: 1101 1120 1100 1119
> What if you also had a stop loss at 1101? Which price should
> TS assume got hit first, 1115 or 1101?
IF you write the system that way, then the rules cannot resolve the
ambiguity. In a truly extensible language, you'd be able to define how
you wanted to report that and handle it. When I do testing manually, I
flag ambiguous days and go looking for a shorter-term duration to
identify the proper sequencing.
> You might not put a
> stop there, but someone else might and TS would have to be
> prepared to handle it.
Yep. OR... as I guess I just said above, TS could've stuck in some kind
of a replacement-proc hook so that I could elect to redefine the BUY and
SELL functions with my own code. The default BUY and SELL rules do meet
the least dangerous interpretation, I'd agree, but I'm sad that I can't
replace parts of the trading engine.
> Back then I wrote my own
> indicators to test day trading strategies on end of day
> bars. However, I don't think it's wise to trade based on
> this kind of testing.
:-) No disagreement from me!
> I don't know of any other commercial trading
> software that has that level of flexibility and power.
Nor do I, I'm afraid. Every now and then, I have a little psychotic
episode and I think that maybe I'll write my own data display and
testing shell. Then I remember that I'm supposed to be focusing on
things in life that are pleasant and good, rather than painful and
tedious, and the idea vanishes again.
> What is a Defender of Sticks?
It's a superhero designation. See
http://www.teleport.com/~troutman/moniker.html
Basically, it's somebody who defends sticks that fall off of trees.
There's not much work involved, but that's okay with me. Glad I could
help clear that up.
Sticks
--
Troutman, Defender of Sticks troutman@xxxxxxxxxxxx
(aka) http://www.teleport.com/~troutman
Jonathan Matte, President No banner ads, no cookies,
Defender Capital Management, Inc. no sekrit sniffers!
Introducing Broker, Commodity Trading Advisor
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