Intra-day trading

Discussion in 'Strategy Development' started by Murray Ruggiero, Oct 28, 2005.

What type of intraday bars do you use ?

  1. Tick bars

    5 vote(s)
    9.4%
  2. 1 minute

    15 vote(s)
    28.3%
  3. 5 minute

    25 vote(s)
    47.2%
  4. 30 minute

    5 vote(s)
    9.4%
  5. longer than 30 minute

    3 vote(s)
    5.7%
  1. Murray Ruggiero

    Murray Ruggiero ET Sponsor

    In this thread let's discuss issues involved in developing intra-day trading systems. I would really like information on how the community trades intraday. Let's discuss issues like trading time based bars versus tick bars. Also we can discuss short term intra-day systems and system development in this thread.
     
  2. r-in

    r-in

    Since I could only vote for one I posted as 1 minute, but in reality I use tick, 1 min, 3 min, and I like to have a view of longer term available in another workspace. I also keep key numbers(or at least for me) available in front of me on paper as a reference. These are significant s/r from longer term, such as daily, as well as floor pivots, previous high, low, close.
     
  3. Murray Ruggiero

    Murray Ruggiero ET Sponsor

    I guess, my question is would you use a platform which did not support tick bars. Is a intra-day platform which uses 1 minute or greater bars useful, depending of course on what other features it offers that for example TradeStation does not.
     
  4. Murray Ruggiero

    -Is it important what timeframe to trade? Because all time
    frames can make money depending if you apply right system
    for it? Do you think there is certain TF within that gives less
    random movement?


    -Don't you think trading intraday, and using longer than
    30min, say ex.. 60min would be to large and giving away
    too many trading opportunities?
     
  5. i agree, 1 min until about 10:00, then 3 min
     
  6. Murray Ruggiero

    Murray Ruggiero ET Sponsor

    Remember in the system world several popular systems used 45 minute bars. One example of this was R-Breaker. I guess using longer bars you miss opportunity but also you filter noise. This is like a moving average add lag , but get rid of noise.
     
  7. 10 min bars
     
  8. Murray Ruggiero

    Murray Ruggiero ET Sponsor

    From the results of the poll it looks like most of you would you use intra-day backtesting software which handles down to 1 minute bars even if it did not do analysis at the tick by tick level.

    Our current plans for TradersStudio real time is to support 1 minute bars , but not to do analysis at the tick by tick level in this first real time version. My guess is that this would be good enough for most intra-day trades.