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Bob, I have written a few messages before as well regarding this topic. Although I have never traded with OddBall, I have several other systems using
several datafeeds. What concerns me most is the internal reference (data1 / data2 etc) seems to be "out of order" when using functions (however, not all the time - even more strange). This could mean that using a function within a system with several datastreams you would not be certain which stream it actually read if you reference it as "close" instead of "close of data1", for example.
Frode
----- Original Message -----
From: "Bob Fulks" <bfulks@xxxxxxxxxxxx>
To: "OmegaList" <omega-list@xxxxxxxxxx>
Sent: Monday, March 25, 2002 6:34 PM
Subject: More Possible Errors in OddBall
> In tracing differences between various versions of OddBall, I found a
> lot more possible sources of error than I had thought of before -
> mostly related to missing data bars in data1 or data2. TradeStation
> gives you some strange behavior if there are bars missing in either
> data series in a multiple data series chart.
>
> On bars with data1 missing but data2 present, the code will be
> executed but the CurrentBar value will NOT be incremented and the new
> value of variables will NOT be saved - very strange. The data1 values
> (Time, Date, Close, etc.) will be the values from the last real data1
> bar.
>
> Bars with data2 missing but data1 present will be executed normally.
> The data2 values (Time, Date, Close, etc.) will be the values from
> the last real data2 bar.
>
> (This is from testing in TS2000i - it could be different in other
> versions...)
>
> Needless to say, this plays havoc with the OddBall scheme of
> referring back 7 bars and expecting to find the corresponding time
> bar from yesterday!
>
> To trace these, I created an error reporting function that will print
> a log of all errors in the debug log. Each bar with errors prints a
> line in the log listing the error codes. A bar can have multiple
> errors. An example of the log with the error codes is appended below.
> Note that the error count does not always increment (because the
> data1 bar is missing).
>
> This list of the errors was for the original OddBall code running on
> four years of my data. (60 minute natural hour bars) Every error
> results in an incorrect calculation of the rate-of-change for that
> bar so could cause a spurious change in the trading position. There
> are 124 bars with errors in the list below (but I omitted most of
> them from the middle of the list to shorten the message).
>
> Many of the errors are due to short trading days near holidays as we
> have discussed previously, but there are still a lot due to missing
> data bars. As an example:
>
> Count Days ---Cursor-- CurrentBar1 CurrentBar2 --RefBar1-- --RefBar2-- LDate1 LDate2 j k Error
> 1 124 980701 1000 980630 1600 980701 1000 980629 1600 980630 1000 980629 980629 0 7 B1 D2
>
> This finds that on chart bar of 7/1/98 at 10:00am, the data1 bar is
> missing. The values on data1 will show 6/30/98 4:00pm even though the
> bar isn't there.
>
>
> 1 125 980701 1100 980701 1100 980701 1100 980630 1000 980630 1100 980630 980701 0 7 D2 T1
>
> As a result, on the chart bar of 7/1/98 at 11:00am, the time on data1
> and the date on data2 seven bars back are not correct. Note that the
> error count on column 1 did not increment because calculated value:
> "Count = Count + 1" was not saved because the data1 bar are missing.
>
>
> Perhaps this helps explain why people have been getting such
> different results with the original OddBall code...
>
> I will try to test other OddBall code versions later. Clearly we
> would need to use some more robust way of implementing OddBall if we
> want to prevent errors due to missing data bars and short trading
> days.
>
> Bob Fulks
>
> ----------
>
> Error Codes:
>
> ID = Z [Zero divisor in Rate-of-Change Calculation]
> ID = B1 [On this bar data1 bar missing, data2 bar present]
> ID = B2 [On this bar data2 bar missing, data1 bar present]
> ID = T1 [Time on bar back in time is wrong in data1]
> ID = T2 [Time on bar back in time is wrong in data2]
> ID = T [Time on bar back in time is wrong in data1 and data2]
> ID = D1 [Date on bar back in time is wrong in data1]
> ID = D2 [Date on bar back in time is wrong in data2]
> ID = D [Date on bar back in time is wrong in data1 and data2]
>
> Column Headings:
>
> Count Error count (but it will not increment if missing data1 bar)
> Days The day number since the beginning of test
> Cursor The date/time at the cursor on a chart (to locate bars)
> CurrentBar1 The date/time of current bar data1
> CurrentBar2 The date/time of current bar data2
> RefBar1 The date/time of bar back in time data1
> RefBar2 The date/time of bar back in time data2
> LDate1 Saved date of the previous trading day data1
> LDate2 Saved date of the previous trading day data2
> j The index j (if used, zero if not used)
> k The index k (bars back to reference bar)
> Error Error codes for this bar (see above)
>
>
>
> Count Days ---Cursor-- CurrentBar1 CurrentBar2 --RefBar1-- --RefBar2-- LDate1 LDate2 j k Error
> 1 124 980701 1000 980630 1600 980701 1000 980629 1600 980630 1000 980629 980629 0 7 B1 D2
> 1 125 980701 1100 980701 1100 980701 1100 980630 1000 980630 1100 980630 980701 0 7 D2 T1
> 2 125 980701 1200 980701 1200 980701 1200 980630 1100 980630 1200 980630 980701 0 7 D2 T1
> 3 125 980701 1300 980701 1300 980701 1300 980630 1200 980630 1300 980630 980701 0 7 D2 T1
> 4 125 980701 1400 980701 1400 980701 1400 980630 1300 980630 1400 980630 980701 0 7 D2 T1
> 5 125 980701 1500 980701 1500 980701 1500 980630 1400 980630 1500 980630 980701 0 7 D2 T1
> 6 125 980701 1600 980701 1600 980701 1600 980630 1500 980630 1600 980630 980701 0 7 D2 T1
> 7 126 980702 1000 980702 1000 980702 1000 980630 1600 980701 1000 980701 980701 0 7 D1 T1
> 8 229 981127 1500 981127 1400 981127 1500 981125 1400 981125 1500 981125 981125 0 7 B1
> 8 229 981127 1600 981127 1400 981127 1600 981125 1400 981125 1600 981125 981125 0 7 B1
> 8 230 981130 1000 981130 1000 981130 1000 981125 1500 981127 1000 981127 981127 0 7 D1 T1
> 9 230 981130 1100 981130 1100 981130 1100 981125 1600 981127 1100 981127 981127 0 7 D1 T1
> 10 230 981130 1200 981130 1200 981130 1200 981127 1000 981127 1200 981127 981127 0 7 T1
> 11 230 981130 1300 981130 1300 981130 1300 981127 1100 981127 1300 981127 981127 0 7 T1
> 12 230 981130 1400 981130 1400 981130 1400 981127 1200 981127 1400 981127 981127 0 7 T1
> 13 230 981130 1500 981130 1500 981130 1500 981127 1300 981127 1500 981127 981127 0 7 T1
> 14 230 981130 1600 981130 1600 981130 1600 981127 1400 981127 1600 981127 981127 0 7 T1
> 15 248 981224 1400 981224 1400 981224 1300 981223 1400 981223 1300 981223 981223 0 7 B2
> 16 248 981224 1600 981224 1400 981224 1600 981223 1400 981223 1400 981223 981223 0 7 B1 T2
> 16 249 981228 1000 981228 1000 981228 1000 981223 1500 981223 1500 981224 981224 0 7 D T
> 17 249 981228 1100 981228 1100 981228 1100 981223 1600 981223 1600 981224 981224 0 7 D T
> 18 249 981228 1200 981228 1200 981228 1200 981224 1000 981224 1000 981224 981224 0 7 T
> 19 249 981228 1300 981228 1300 981228 1300 981224 1100 981224 1100 981224 981224 0 7 T
> 20 249 981228 1400 981228 1400 981228 1400 981224 1200 981224 1200 981224 981224 0 7 T
> 21 249 981228 1500 981228 1500 981228 1500 981224 1300 981224 1300 981224 981224 0 7 T
> 22 249 981228 1600 981228 1600 981228 1600 981224 1400 981224 1600 981224 981224 0 7 T1
> 23 289 990226 1000 990225 1600 990226 1000 990224 1600 990225 1000 990224 990224 0 7 B1 D2
> 23 289 990226 1100 990225 1600 990226 1100 990224 1600 990225 1100 990224 990224 0 7 B1 D2
> 23 290 990226 1200 990226 1200 990226 1200 990225 1000 990225 1200 990225 990226 0 7 D2 T1
> 24 290 990226 1300 990226 1300 990226 1300 990225 1100 990225 1300 990225 990226 0 7 D2 T1
> 25 290 990226 1400 990226 1400 990226 1400 990225 1200 990225 1400 990225
>
> <Big snip>
>
> 93 932 1010917 1600 1010917 1600 1010917 1600 1010911 1200 1010910 1600 1010911 1010910 0 7 T1
> 94 980 1011123 1400 1011123 1400 1011123 1300 1011121 1400 1011121 1300 1011121 1011121 0 7 B2
> 95 980 1011123 1600 1011123 1400 1011123 1600 1011121 1400 1011121 1400 1011121 1011121 0 7 B1 T2
> 95 981 1011126 1000 1011126 1000 1011126 1000 1011121 1500 1011121 1500 1011123 1011123 0 7 D T
> 96 981 1011126 1100 1011126 1100 1011126 1100 1011121 1600 1011121 1600 1011123 1011123 0 7 D T
> 97 981 1011126 1200 1011126 1200 1011126 1200 1011123 1000 1011123 1000 1011123 1011123 0 7 T
> 98 981 1011126 1300 1011126 1300 1011126 1300 1011123 1100 1011123 1100 1011123 1011123 0 7 T
> 99 981 1011126 1400 1011126 1400 1011126 1400 1011123 1200 1011123 1200 1011123 1011123 0 7 T
> 100 981 1011126 1500 1011126 1500 1011126 1500 1011123 1300 1011123 1300 1011123 1011123 0 7 T
> 101 981 1011126 1600 1011126 1600 1011126 1600 1011123 1400 1011123 1600 1011123 1011123 0 7 T1
> 102 1001 1011224 1400 1011224 1400 1011224 1300 1011221 1400 1011221 1300 1011221 1011221 0 7 B2
> 103 1001 1011224 1600 1011224 1400 1011224 1600 1011221 1400 1011221 1400 1011221 1011221 0 7 B1 T2
> 103 1002 1011226 1000 1011226 1000 1011226 1000 1011221 1500 1011221 1500 1011224 1011224 0 7 D T
> 104 1002 1011226 1100 1011226 1100 1011226 1100 1011221 1600 1011221 1600 1011224 1011224 0 7 D T
> 105 1002 1011226 1200 1011226 1200 1011226 1200 1011224 1000 1011224 1000 1011224 1011224 0 7 T
> 106 1002 1011226 1300 1011226 1300 1011226 1300 1011224 1100 1011224 1100 1011224 1011224 0 7 T
> 107 1002 1011226 1400 1011226 1400 1011226 1400 1011224 1200 1011224 1200 1011224 1011224 0 7 T
> 108 1002 1011226 1500 1011226 1500 1011226 1500 1011224 1300 1011224 1300 1011224 1011224 0 7 T
> 109 1002 1011226 1600 1011226 1600 1011226 1600 1011224 1400 1011224 1600 1011224 1011224 0 7 T1
>
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