Re: Different TS4 backtest results on 15min vs 60min bars

["Benjamin \"ElGuru\" Blanco" <elguru@xxxxxxxxxxxxxxxx>]

The data compression you choose must be a lesser or equal multiple of 60.
This is a very broad question.  However, it is possible to condition the
calculation to update only on the 60-min bar.  You will most likely need to
re-write the entire technique to use an internal array that is updated every
60-min as opposed to referencing the price.


Best regards,

Benjamin "ElGuru" Blanco
http://www.blancofamily.net/elguru

----- Original Message -----
From: "MT" <mtzianos@xxxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Thursday, July 11, 2002 7:50 AM
Subject: Different TS4 backtest results on 15min vs 60min bars


I have been looking for the correct way to write a strategy and setup
TS4 (hopefully it's the same for TS2k?), so that "same" strategy
appplied on multiple timeseries of different open/close times, and
computed for a bigger bar size, e.g. 15min chart but system trades
always at 60min intervals, produce the same results.

To demonstrate the behaviour I'm referring to, I just loaded Bob Fulks'
versions of OddBall on two different charts, using TS4 (btw, big thanks
to BF for his generous contributions over the years) and data from
traders2trades, for SP and ADV 1/1/2000 to 8/17/2001

Here are the details under TS4:

-=-=-=-=-
Chart1

Data1: SP 1min file, DataCompression: 15min, Universe: 0930-1615
Data1: ADV 1min file, DataCompression: 15min, Universe: 0930-1600
System: bf.oddball.4 (0,0,1,1000,16000,...)
-=-=-=-=-
Chart2

Data1: SP 1min file, DataCompression: 60min, Universe: 1000-1600
Data1: ADV 1min file, DataCompression: 60min, Universe: 1000-1600
System: bf.oddball.2(7,0,0,3), Mode3 (ie same algo for using "correct"
ROC)
-=-=-=-=-
Chart3

Data1: SP 1min file, DataCompression: 60min, Universe: 0930-1615
Data1: ADV 1min file, DataCompression: 60min, Universe: 0930-1600
System: bf.oddball.2(7,0,0,3), Mode3 (ie same algo for using "correct"
ROC)
-=-=-=-=-

Chart1 shows 455 trades, 340k profits
Chart2 shows 383 trades, 370k profits
Chart3 shows 336 trades, 188k profits

Note1: There is some discrepancy, due to MaxBars setting, but it's
effect is rather minor.


Regards,

Michael.