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David,
> As many of you know, intraday breadth data is pretty hard to come by for
> anything except the last 3 or 4 years. The ONLY data vendor I have been
> able to find that has this data is CQG, and they have it back to Sept.
1987.
What would you use 1 minute bars that far back for? Think about how much
the market has changed. All you have to do is look at what started
happening to ATR in the mid 90s. You'll find that the performance of index
systems breaks at around 95-96. Systems test well after those dates or
before those dates but not so well on both sides of those dates.
Regards,
Mike
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