Bar based Autotrading

Discussion in 'Automated Trading' started by walterjennings, Oct 14, 2010.

  1. Logic


    That is true. Here's an example of what he meant though:

    if (high of this bar < high of last bar + standarddeviation(high, 5 bars)) then

    sell 1*10^15 shares market;

    If the high of this bar goes too much higher, then it'll no longer be a sell signal.
    #21     Oct 19, 2010
  2. LeeD


    As Eight has mentioned, a few platforms work with intra-bar updates, which are fully backtestable. One of the ways to look at it is on every tick you assume it could be the last tick of the bar. So, you perform all calculations as if it is indeed the last tick.
    #22     Nov 4, 2010
  3. etjaydot


    compare results using the present bar or open of the present bar and the close of said bar. basically your trades should fall somewhere in between
    #23     Nov 25, 2010