Strategy Dev/Backtesting with OHLC vs Intraday Data

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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
 
Quote from etfarb:

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.
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newb, first go learn what a "bar" is, and what an "OHLC" is, and then decide if you really want to ask that question.
 
Quote from propseeker:

newb, first go learn what a "bar" is, and what an "OHLC" is, and then decide if you really want to ask that question.
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lol sorry berrrroooooo

i meant eod
 
Quote from Joman:

Yes and you only have 1 year of historical data.
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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?
 
Quote from etfarb:

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?
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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.
 
Quote from propseeker:

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.
More...

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
 
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