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In message <199806111853.UAA09556@xxxxxxxxxxxxxxxxxxxxx> hans wrote:
> The problem is "bouncing ticks" - see also online help/manual
Yes, I know about the "bouncing ticks" problem but I've never really
understood it. Let's say the manual is not extremely thorough
or clear. :-\ The online help is better but still pretty vague.
I thought that, unless you had the "update every tick" box checked,
the system is not run until the bar closed. At which point,
I would think, it "knows" everything about the price action
(basically just OHLC) that it would know in historical testing.
> So it might hit a stop or profit target first -
Hmm, I suppose that could be it. That could cause different behavior
in realtime vs. backtesting. I.e. if you're long and the previous bar
set up a "sell stop" AND an "exitlong stop", then it might have hit
the "sell" in realtime ticks but the "exitlong" in "bouncing ticks"
simulation.
> Best way around is to use as short as possible time bars, i.e. try to CHANGE
> the code of your system to run on 1min bars instead on 5min or 60min - often
> thats possible, but not allways.
Yes, I've done things like that, but it's a pain. It also limits
your tests to 30day periods, which is often not acceptable.
> .....and its not a bug - its a "feature" <g>
Ya right. Yet another high-quality Omega "feature."
I understand why Omega did this -- it saves a lot of time over
testing every tick when you go through a system test. But if the
bars in the chart were constructed from tick data, then it seems
to me there's an obvious, fairly simple, and CORRECT solution:
use only the bar's OHLC until you get to a bar that hits your
signal prices. If the bar's H/L encompass an entry/exit price,
THEN you can do the tick-by-tick analysis for that bar only.
Ohwell, supposedly TS5 fixes this and all other problems.
(And, if history is any guide, it will introduce 1000 new ones...)
Gary
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