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Jim Ducker wrote:
>
> RTs;
>
> I'm going to switch vendors for end-of-day historical and update
> data. I've used SuperCharts and played around a bit with TS. I did a
> little back testing using the (limited) data provided with SC. I used
> DialData for my EOD updating. I had trouble understanding Omega's
> recommendations for historical testing and optimizing, and some time
> ago, I questioned Omega's people (including Bill Cruz) and Dial Data.
> However, I didn’t get the information I was after before my poor
> health forced me to stop trading for a while. I'm starting up again,
> and do NOT want to use DialData.
>
> I have paid attention to the general recommendations (and “stay
> aways”) on this and other forums and have a good idea of which
> vendor(s) I will consider. But first, I'm working on gaining a better
> understanding (the advantages and disadvantages) of the various types
> of historical data and roll over methodologies available from data
> providers. I want to check the group’s current consensus as to which
> is the "best" method to use in SC/TS so as to most accurately reflect
> how trading is actually done.
>
> My testing concerns include wanting to be able to roll over from
> (historical) contract to contract without trading each contract
> through its entire life (i.e. trade only the last months of each near
> contract, then roll to the next at a reasonable point short of the
> FND or LTD). The data must, of course, be "adjusted", but again which
> method is "best"? Proportional (Ratio Adjusted Data (RAD)? The
> pitches I've seen for that make a lot of sense to me. Do you folks
> agree?
>
I'm not an expert by any means but it seems for most purposes data
adjusted for the gap by means of addition/subtraction is better than
ratio, at least if ratio data changes the bar height. Addn/subtraction
adjustment keeps the bar to bar and intrabar relationships the same as
it was in real life. I am not that familiar with ratio adjusted but it
seems that would change the height of the bar. This would change your
P/L as well as the response of any part of the system based on absolute
numbers (points or $ stops for example). Signals based on atr would be
ok I believe. I think the one time addn/subtr does not work is if you
system signals on %change, for example sell on a 2% drop.
Someone might argue that in a market that's been on an overall uptrend
like the sp, you'd be better off with ratio adjusted bec that would
force the earlier bars to be more similar to todays. So you could test
a system that did have fixed values (points or $) with older data. But
what if the volatility of the sp changes in the future? I think rather
than using ratio'd data, a system ought to be based on the atr, not
fixed points.
However, as I said i'm no systems expert, but rather a small trader that
is not yet successful. So I would welcome corrections if needed.
> Omega warned that using data other than from their two "approved"
> sources would not be "seamless". As I understand it, this means that
> I might have trouble “converting” others’ initial historical data and
> then updating it with current EOD downloads so as to be able to chart
> and test up-to-date daily, weekly or monthly bars. I gather it can be
> done, but the way it is described seems unacceptably difficult to do
> on a regular basis. I would like to hear from anyone with experience
> with a “best” method who can tell me exactly how truly and fully
> "compatible" ("seamless") it is with SC/TS and from which vendor(s) I
> can get it.
>
With vendors like CSI or Bridge, the data management is done outside of
TS. You might have trouble trying to link a CSI historical contract
with Omega's current data, but if you did your daily downloading from
CSI you should have no trouble (at least with TS4).
I use Bridge. My impression is that Csi has wider variety in continuous
contract maintanence and whether or not you include night data, but has
had some glitches in their downloading software at times. Bridge has
been very reliable for downloading. I think it can do cont. contracts
but I'm not sure.
Conrad Bowers
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