Rank: Advanced Member
Groups: Registered, Registered Users, Subscribers Joined: 3/20/2006(UTC) Posts: 53
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Test data on different time frames
Hi.
How can I do an exploration test which search for 2-day, 5,-day, weekly & monthly data?
Thank you.
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Rank: Advanced Member
Groups: Registered, Registered Users, Subscribers Joined: 10/29/2004(UTC) Posts: 1,394 Location: Glastonbury, CT
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Depending on the formula?
A basic formula for a daily exploration, run exploration, save results, go back and under edit/options change the periodocity to the time frame you want, run another exploration,save results.
Now for the headache!
a "daily exploration" C>mov(C,5,S) = Close is greater than 5 bar "Daily data" moving average
a "weekly exploration" C>mov(C,5,S) = Close is greater than 5 bar "weekly data" moving average = 25 bar "daily"moving average
To get around these type's of problems, you have to create Weekly formulas of the daily formulas
Check out Roy's site, Jose's site for time frame indicators or if you have PowerPivot+ add-on you can then use that to create Multi Time frame formulas
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Rank: Advanced Member
Groups: Registered, Registered Users, Subscribers Joined: 3/20/2006(UTC) Posts: 53
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henry1224 wrote:Depending on the formula?
A basic formula for a daily exploration, run exploration, save results, go back and under edit/options change the periodocity to the time frame you want, run another exploration,save results.
But it seems there's no option for, like, 2-day or 5-day formulas.
How to do?
Quote:
Now for the headache!
a "daily exploration" C>mov(C,5,S) = Close is greater than 5 bar "Daily data" moving average
a "weekly exploration" C>mov(C,5,S) = Close is greater than 5 bar "weekly data" moving average = 25 bar "daily"moving average
To get around these type's of problems, you have to create Weekly formulas of the daily formulas
Check out Roy's site, Jose's site for time frame indicators or if you have PowerPivot+ add-on you can then use that to create Multi Time frame formulas
Where are their websites? (I have googled them in vain)
I do not have PowerPivot+.
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Rank: Advanced Member
Groups: Registered, Registered Users, Subscribers Joined: 7/25/2005(UTC) Posts: 1,042
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WmWaster
This link will take you to my web site.
MetaStock Tips & Tools
This link will take you to Jose's site.
MetaStock Tools
There are inherent problems with forming EOD data into timeframes other than conventional weeks and months etc. Weeks and months have known start and end points which do not change, but this is not the case with two and five day timeframes. Non-standard timeframes usually bcome rolling frames that keep changing as you add new data. Therefore they are useless for most purposes, and especially so for back-testing of systems. The problem is that while these frames can be "anchored" to either the first or last data bar, the first and last bars themselves change as more data is added.
Yes, I did say that the first bar changes. Suppose that you open 1000 bars for each chart but you have 2000 bars of history. Each time a new data bar is added a 1000-bar chart will open with a new starting bar. The same situation applies to explorations that do not use ALL history. Conclusion: there is no reliable anchor or reference point for 2 or 5 day timeframes so any tools based on them should be used with extreme caution.
Roy
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Rank: Advanced Member
Groups: Registered, Registered Users Joined: 3/19/2005(UTC) Posts: 2,995
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