hi,
Just something I'm wondering about: the more favourable intrabar price as compared to the end-of-hour price (in the hourly timeframe) could indeed make the difference between a profitable and a non-profitable system. But you may also increase the number of losing signals, that is when after the intrabar signal, price drops again and remains low up to the end of the hour resulting in your hourly model showing "no signal" (yet you entered intrabar!). You may have to get out at a loss in this case. Increasing the number of losers can destroy a system. So the question is what weighs most: better entry price against increased number of losers?
Or to put it in another way: if in the backtest you check for a signal end-of-hour and if there is one, you suppose that you could get it at the better intrabar price, you are "looking into the future" if you are ignoring the cases where the intrabar signals end up as being losers.
Or I am completely besides the question here, which may happen... :)
---In amibroker@yahoogroups.com, <empottasch@...> wrote :
yes well the point is that in real time the cross of the High price with the BBand of the High price often occurs earlier than the BBand price itself as shown when the bar is completed. This I show in that chart. If you make a system using signals of this cross in the hourly timeframe using hourly data only then the best you can do is take the Bollinger band as the entry price. But in real time the entry price is more favourable. This is because during the time the bar develops (in this case duing 1 hour) the Bollinger band is not stationary but also developing.
In the chart you see a signal at the cross. The price at the Bollinger band itself is shown by the shapeCircle. But the price you could get in reality is shown at the shapeHollowSquare. So this is what I have been trying to accomplish. The price difference is significant and could just be the difference between a system being profitable or non-profitable
regards, ed
Sent: Thursday, May 05, 2016 6:33 AM
Subject: Re: [amibroker] cross price calculations
Very nice code, Ed.
The difference between the projected BB cross and the actual cross is surprisingly low.
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Posted by: bsteyaert@skynet.be
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