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In a message dated 3/26/02 1:49:29 PM Pacific Standard Time,
dionkk@xxxxxxxxxxxxxx writes:
<< I'm experimenting with the Oddball system and I have a quick question about
the trade by trade data:
http://www.oddballsystems.com/positions/X.SPX-S0007.txt
Does each entry in this file represent a single bar of data? I see that
some days end at 3:00 PM while most days have an additional bar of data,
3:15 PM. Since Oddball is based on the 7 bar ROC it seems that the extra
(eighth) bar would throw off the results.
Am I right to assume that a testing dataset should contain 7 hourly bars per
day, 9:00 AM through 3:00 PM?
Thanks much!
>>
dionnkk,
The file you referenced does indeed show bars of data at 3:15 (Chicago time)
for most days. I am also puzzled by that since the $spx index nominally is
finished for the day at 3:00, except for possible 'late' entries. If you are
going to run tests against the cash ($spx) index, I'd cut off the data at
3:00 and use the 7 period roc. S&P futures, however, trade until 3:15 and
that 8th data bar is real. For the futures, using an 8 period roc takes care
of that.
Have fun.
Regards,
Lee Scharpen
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