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> Example: when tick-based bars are collapsed into 1 minute bars,
> the order of the interval's HIGH-LOW can be determined.
> The storage cost would have been this: 1 BIT per interval.
> WE'VE BEEN GOING CRAZY BECAUSE OF A WHOLE BIT !
I don't agree. That would have been a half-baked solution to a more
general problem. So you know whether the H or L got hit first, but
what about the other price action within the bar? It might have a
big impact on when your stops got filled &etc. Granted, knowing
which (H or L) came first is a good start, but it doesn't solve the
problem.
I understand TS2k (and I assume TS6) solve this the right way, by
allowing you to use the full resolution of the data in your backtests.
Gary
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