Strategy Dev/Backtesting with OHLC vs Intraday Data

Discussion in 'Strategy Development' started by etfarb, Apr 27, 2013.

  1. etfarb

    etfarb

    Whats the difference between using the two in a backtest...?

    I'm not a micro scalper nor am I an HFT. I simply look to make anywhere between 1-2 trades a day (Open and Close - Sometimes the afternoon)

    I'm a newb when it comes to data analysis but I was wondering if someone could tell me the benefits of using OHLC Vs 1/5/10 min price bars for a backtest

    A lot of people say all you need is OHLC prices and your off to the races but I was wondering if someone with experience in this could chime in
     
  2. Joman

    Joman

    In OHLC bars only the C is correct...
     
  3. etfarb

    etfarb

    Even from IB>?
     
  4. newb, first go learn what a "bar" is, and what an "OHLC" is, and then decide if you really want to ask that question.
     
  5. Joman

    Joman

    Yes and you only have 1 year of historical data.
     
  6. etfarb

    etfarb

    lol sorry berrrroooooo

    i meant eod
     
  7. etfarb

    etfarb

    If you only had access to EOD OHLC prices... how could you derive value?

    Or if you had a data set for an entire trading day with1/5/10 min bars, how can you determine highs and lows for the day with just the data set?
     
  8. you would need to learn some basics about programming. a loop and > or < comparison would do it.

    the answer to your original question is: it's strategy dependent. for intraday strategies, you'd want to use intraday data, for eod strategies, you might be able to get away with eod data assuming no intraday execution and/or tight margins. you'll need to test and then exectue to see what works for you.
     
  9. etfarb

    etfarb

    propseeker,

    appreciate that

    Any suggestions on programming?

    I do all my analysis in excel right now and dont; know whether i should pick up R or Python