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Neither. I was thinking of the conversation in general.

The last few e-mails remind me of Plato's "Allegory of the Cave". This is quality.

Wayne, I think there's been a misunderstanding. I was referring to a simulated data set for a given contract such as the ES contract, not running a simulation/backtest. By a simulated data set I meant a data set that replicates the statistical properties of the ES contract. With...

greaterreturn, I'm not following you on the "real market simulation data"? Where does the simulated data come from? How is it produced and at what frequencies is it available? -Lou

greaterreturn, I'm glad you mentioned simulated data. I've been thinking about that one for awhile. Do you know of a source for simulated tick data sets? Do you develop your own at the tick-bar level? I think I could create a very good tick-bar data set by rearranging my existing algs but...

Sort of like who wants to be known as a "Ninja Trader"? Couldn't they have thought of a more professional sounding name for that product?

ProfLogic, What part of your approach to trading is automated? How did you find out what your edge was or figure out what to automate if you didn't look at historical data? Regardless of whether you casually observed the data in real-time or you looked at the historical data...

knocks420, I've never heard of the method you've suggested so I don't have an opinion on it one way or another. Are you outside of your risk of ruin calcs? Have you tried any of the statistical tests for structural change? Just my opinion here - but given what the mkts are like these...

That's ProfLogic's deal. I've never looked into CVB. I don't know how or if constant volume bars are any different than regular volume bars. I can plot volume bars in NinjaTrader no problem but I don't know if that's the same thing. Let me know if you figure it out. Sorry, I just work...

MGJ, I think it's the latter. I simplified the topic to motivate the discussion. At any rate, it worked since I've received couple of helpful points on where to look for more info. Thx for the heads up on the NP response. I didn't have an e-mail alert set there...

Equalizer, Yes, you're right. I try to keep my posts here to a bare minimum. Time to move on. Best of luck, bluelou

ProfLogic, Are you also saying that tick-based bars aren't "consistent"? Do you believe tick-based bars are inferior to volume bars? If so, can you support that claim? Or, is it just that you're trading spot FX and there isn't sufficient time & sales data available for you to use tick bars...

BLB, Yes, there is a relationship b/t the signal and the residual. And there should be, otherwise I wouldn't have much to work with. But the relationship isn't a misspecification error.

ProfLogic, You made a very good point here... "1. The noise exists in the chart YOU use to view a market." To address that issue in particular I calculate the residual on both a tick chart and a time-based chart. Since I'm trading intraday I use 4 min or smaller bars on my time-based...

ProfLogic, Please correct me if I'm wrong in my interpretation of what you just posted: 1) The noise that I'm observing is caused by traders using different data series and different frequencies for the same instrument. 2) This noise is exacerbated in the spot FX market due to the lack of...

knocks420, You're right about the ET signal/noise ratio. I guess it just requires some patience. On your second point... Yes, you're pretty close. But, I wouldn't call it a discernable pattern. Rather, by setting simple thresholds for the residual values, I'm able to make a trading...

BLB, I wish! I'm not getting a constant periodicity but by using a few simple threshold value-type rules I've developed a very good trading model. I've completed backtests going back 3 years on 4 instruments so far. It all looks great so far but that wasn't really the point of my posting...

To Tums: Detrending method: I'm using a redundant haar wavelet and applying it to tick bar data. The best way to think of this would be to apply a 3rd to 5th order polynomial to 4 minute bar data. After subtracting this trend, I'm left with a residual or "noise". To Hook N Sinker and...

MGJ, The dilemma is that either I'm wrong about the embedded structure in the noise or there is an embedded structure and I'm the only one who can see it. Neither choice is acceptable to me. Does that help you? FWIW, since I couldn't find the answer to my question on my own I thought I'd...

Why does idiosyncratic noise exist in the first place? What causes the idiosyncracies? Is there any academic research on idiosyncratic noise signatures in high frequency data (of any type) that you would recommend? I'm open to your suggestions. Background: I use a model based on ideas...