Just something I'm wondering about: I agreee that the more favourable intrabar price as compared to the end-of-hour price (in the hourly timeframe) could 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 intraday price, you are "looking into the future": you would/could be ignoring the cases where the intrabar signals end up as losers.
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Posted by: bsteyaert@skynet.be
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