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    How far to backtest intraday?

    ... or an eagle; the patient hunter circling high up and in wait for long periods, then swooping to tear flesh from its prey.
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    How far to backtest intraday?

    ... or a baleen whale; a filter-feeder capable of long periods submerged and unnoticed, that trawls oceans devouring vast amounts of unseen, microscopic prey.
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    TNA components?

    See "Principal Investment Strategies" on pg 61 of the prospectus ... http://www.direxionshares.com/document/regulatory_documents.html
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    In-Sample? Out-of-Sample? "Simple" Sample?

    I think I could have been clearer in my description of what I was doing ... In my outline of METHOD B, when I referred to optimizing "over the first group", I was referring to optimizing over the "in sample data", rather than to over the METHOD A dataset (i.e. the whole sample). Does this...
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    In-Sample? Out-of-Sample? "Simple" Sample?

    Thanks. The sample period covers approx last 3.5 years of 1-minute data.
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    In-Sample? Out-of-Sample? "Simple" Sample?

    Thanks
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    Dug

    Hmmm, yes ... I now see what you mean. Closing price $68.84 at 16h00 EST. In total, under 2500 shares of DUG were traded between 16h00 - 20h00 EST, most at prices nearish to the closing price ($68.84). But 660 shares (i.e. about 25% of the volume traded in the after market session) were...
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    In-Sample? Out-of-Sample? "Simple" Sample?

    Many thanks for the insightful response!
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    Dug

    Wasn't following this closely yesterday, but was it anything to do with the news flow about BP's travails in the Gulf of Mexico, and then Obama statements about cutting back tax breaks for the oil&gas sector?
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    In-Sample? Out-of-Sample? "Simple" Sample?

    I have sufficient data to backtest a simple intraday strategy to end up with approx 1500+ trades in each test case. With this data, I can (METHOD A) optimize for the three strategy variables by running all possible variable combinations over the whole data set (i.e. 1500+ trades), and look...
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    MB Trading down?

    Got kicked off MB Navigator just before 15h30 EST today, and still haven't been able to log back on ... Anyone else having same problem?
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    GLD vs PHYS

    LMHO ... best laugh I've had in days!
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    Need historical data (1-min and 15-sec OHLC bars) for SSO …

    I agree with everything you say above about the inadvisability of trading the pre/post sessions (my opinion is - unfortunately - formed also from personal experience as I tried to trade it for a few weeks once, with unhappy results!). All my (auto)trading is done during the core session...
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    Need historical data (1-min and 15-sec OHLC bars) for SSO …

    Just to round off the thread: I looked into the following that provide extensive historical 1-minute data for ETFs www.grainmarketresearch.com - from what I can determine, this data is timestamped beginning-of-bar, so problematic to covert for import to NinjaTrader www.pitrading.com -...
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    Looking for Intuitive paper-trading software

    NinjaTrader www.ninjatrader.com
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    Creating a System?

    software: NinjaTrader www.ninjatrader.com
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    Need historical data (1-min and 15-sec OHLC bars) for SSO …

    The problem you then have is that NinjaTrader needs timestamps that refer to the time at the end of the bar, while eSignal produces timestamps that refer to the beginning of the bar. This makes the data conversion extremely difficult. Importing eSignal data to NinjaTrader other than through...
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    Need historical data (1-min and 15-sec OHLC bars) for SSO …

    The add on that you are speaking about "Extended Intra day Data" will not work with Ninja Trader. Currently the only program is works with is the eSignal charting program, itself.
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    Need historical data (1-min and 15-sec OHLC bars) for SSO …

    Thanks!
  20. A

    Need historical data (1-min and 15-sec OHLC bars) for SSO …

    I need historical data for SSO, as much as I can get my hands on, for import to NinjaTrader. 1-minute and 15-sec (or shorter) bars, OHLC. I already have more than e-Signal could provide me with, i.e. I already have: - last 12-months of 1-min - last 5-months of 15-sec I am looking...
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