Chris, > This won't help you much but I thought I would chip in here, anyway.
On the contrary - I think it is very apt and insightful. > I used to spend *hours* every week manually updating data etc > . What an agonising waste of time!. I agree with you. Efficient use of time (a.k.a what works?) and leaving risk behind are two major drivers behind the development of my style e.g. fundamental analysis requires a constant renewal of information whereas with technical analysis the acquisition phase diminishes with time. > Support and resistance are > still at the same level, and is never tick precise. I agree S&R is not tick precise. In fact I am inclined to the view that it is generally a little imprecise. Take a classical (theortical) example of support - one buyer with enough clout to make a difference is buying at a target - say it is a whole number $20.00. In real life he or she is a person with emotion so 20 becomes 19.95. Also in real life the order has to be physically filled so spreads and market movement around 20.00 means 'buy at 20' becomes +- 0.20. I am not a long term intraday trader but my observations so far at that S&R are easily identified on intraday charts than EOD charts. > The issue is: is the expectancy positive and can I continue to >trade > this. All three maintained a positive expectancy and when this fell >away > this was the "stop trading this system" signal. I agree that expectancy is a significant metric. I like PF (a derivation of it) and expectancy is really PF translated in return over time (PA%). PF is like the HP of an engine. The more grunt you have the less you are affected by the little bumps (data errors, slippage, variance etc). Even a coin with a strong bias will produce its run of outs. Thanks for your post, Good stuff. brian_z --- In [email protected], ChrisB <[EMAIL PROTECTED]> wrote: > > Brian > > This won't help you much but I thought I would chip in here, anyway. > > I used to spend *hours* every week manually updating data, checking > splits consolidations rights issues etc every week with data from > Justdata comparing with ASX published data in the back of the old Shares > magazine. What an agonising waste of time!. > > Now I only look at Fx. With this being retail broker based the data is > never clean. > > Toward the end of last year I ran a simple once a day system on three > different (demo: yes I know) platforms, entering Limit entries for the > day in the morning and off to work for the day, as a kind of real time > walk forward test. Surprising how much time this took to do. > > In the evening most times all three platforms had either filled my > orders or not, but it was surprising to see how many times Platform1 and > Platform2 would have filled my limit entry, and one of them had got > stopped out, whereas the other had got to the Take Profit. On other days > Platform1 and Platform2 would have filled my entry order but Platform3 > ran without me: a missed trading opportunity. > At the end of the month all three platforms were in profit, just by > different amounts. > > Because I get my Fx data through MT3 plugin these are not exactly the > same prices as my live trading account. > To be honest I don't think this matters. Support and resistance are > still at the same level, and is never tick precise. > Others may choose to disagree. > > Just following three Fx data providers will show you by how much each > can differ, notwithstanding the different time zones and therefore > differing candles we get. And that is not even talking about economic > news times! > > The lesson for me was clear : the individual trade result is irrelevant. > The issue is: is the expectancy positive and can I continue to trade > this. All three maintained a positive expectancy and when this fell >away > this was the "stop trading this system" signal. > > That to me is one of the advantages of Fx : no database hassles. No > company reports, no shareholder statements, no Chess holder statements > and the inevitable shareholder bits of paper coming through the mail > after I have long closed the trades. > > The other way to think about it would be: well if Provider1 has > different Ticks to Provider2, just backtest and optimize for each > respectively over the same time frame and the same tickers. If your > parameters and results differ widely this may be a message that your > system is marginal. On the other hand, if all is well and the results > are very similar, you have just done your own "should I care how clean > my data is?" test. > > Regards > ChrisB > > brian_z111 wrote: > > > > Steve, > > > > I would like to know how I can decide if EOD data is clean or if > > intraday data is up to the demands. > > > > It is a subject that I don't see much quality discussion on. > > > > For EOD data my best ideas so far are: > > > > 1) Data includes raw data - I can compare raw data to other providers > > raw data - I can't compare it to an absolute benchmark because there > > isn't one. > > > > 2) Data inlcudes a record of all split events and the corresponding > > split factor I can check the event records independently and check > > the math. > > > > 3) I can apply the split factor or see the results of it's > > application so I can check the math. > > > > 4) The event calendar should inlcude non-trading days for the market > > and stand down trading days for companies. > > > > 5) Data can be padded or unpadded (optional). > > > > I can't think of any other way to measure data quality. > > > > I don't think any data provider meets the criteria - maybe a few. > > > > For intraday: > > > > What could I possibly do? > > > > Buy raw tick data from several providers, compare them for a > > consensus and filter it myself ? > > > > I am at a loss on that one. > > > > Of course another option is to trade in such a way that bad ticks and > > unclean EOD data don't affect the outcomes very much (that could be a > > lot easier than the above). > > > > brian_z > > > > --- In [EMAIL PROTECTED] ps.com > > <mailto:amibroker%40yahoogroups.com>, "scourt2000" <stevehite@ ..> wrote: > > > > > > > > > Mark, > > > > > > No successful intraday real-time trader who does this full-time > > would > > > ever drop eSignal for Gary's new real-time service. > > > > > > It's a pennywise and pound-foolish decision. > > > > > > He's fine for clean end-of-day data. But he's way out of his > > league > > > for the demands of intraday real-time trading. > > > > > > > > > --- In [EMAIL PROTECTED] ps.com > > <mailto:amibroker%40yahoogroups.com>, "MarkK" <MailYahoo@> wrote: > > > > > > > > Brian, > > > > > > > > > > > > > > > > So far I am very happy with the QP RT beta testing > > > > > > > > I believe that when it goes live they will be taking a lot of > > > customers away > > > > from the other services > > > > > > > > > > > > > > > > It is a much better value than other things out there, and so far > > > the data > > > > has been accurate > > > > > > > > > > > > > > > > > > > > > > > > MarkK > > > > > > > > > > > > > > > > _____ > > > > > > > > From: [EMAIL PROTECTED] ps.com <mailto:amibroker% 40yahoogroups.com> > > [mailto:[EMAIL PROTECTED] ps.com <mailto:amibroker% 40yahoogroups.com>] > > > On Behalf > > > > Of brian_z111 > > > > Sent: Friday, February 15, 2008 7:47 AM > > > > To: [EMAIL PROTECTED] ps.com <mailto:amibroker% 40yahoogroups.com> > > > > Subject: [amibroker] Re: AP's RT data feed - for MarkK > > > > > > > > > > > > > > > > > I am looking for an RT data provider. I used eSignal for a > > couple > > > > >of years, then quit and am ready to resart, but don't likr their > > > > >fees. > > > > > > > > QuoteTracker and LiveCharts have the $60 and $20 version of > > eSignal > > > > if you don't mind less backfill and fewer symbols. > > > > > > > > I have read of a few issues with LiveCharts but surely we can > > make > > > it > > > > work (a lot of the problems also came about because people still > > > > wanted it free after it changed to pay for play a year ago - of > > > > course it doesn't work if ou don't pay). > > > > > > > > A couple of users said it was slow - I don't know - I haven't > > tried > > > > it yet but I will. > > > > > > > > brian_z > > > > > > > > --- In [EMAIL PROTECTED] <mailto:amibroker% 40yahoogroups. com> > > > ps.com, "Ara > > > > Kaloustian" <ara1@> wrote: > > > > > > > > > > Mark, > > > > > > > > > > I am looking for an RT data provider. I used eSignal for a > > couple > > > > of years, then quit and am ready to resart, but don't likr their > > > fees. > > > > > > > > > > Would you elaborate a bit on AP. Never heard of them > > > > > > > > > > Tx > > > > > > > > > > Ara > > > > > ----- Original Message ----- > > > > > From: MarkK > > > > > To: [EMAIL PROTECTED] <mailto:amibroker% 40yahoogroups. com> > > > ps.com > > > > > Sent: Friday, February 15, 2008 3:36 AM > > > > > Subject: RE: [amibroker] New EOD data feed other than Quotes > > Plus > > > > > > > > > > > > > > > Dan, > > > > > > > > > > > > > > > > > > > > I use QP for EOD data, and am happy with the fundamental data > > > > that they provide. Not sure there is another service that offers > > as > > > > much in that area > > > > > > > > > > I also use Fast Track for EOD data. Some market internal data, > > > > no fundamental data to speak of, however the data has been > > cleaner > > > > than QP EOD day data. For Mutual fund data not sure there is a > > > > better service out there. > > > > > > > > > > > > > > > > > > > > Have been an e-signal subscriber for RT data now for 4 years. I > > > > cancelled my subscription since they kept raising their prices, > > and > > > > went to IQ feed. Used them for a month then they raised their > > > > prices. Luckily I was abe to beta test AP's RT data feed. So far > > > > they have been very responsive on the changed needed to make it > > an > > > > excellent RT service, and at a reasonable price. > > > > > > > > > > > > > > > > > > > > I would suggest you get hold of Gary at QP and let him know > > about > > > > your issue. I would think you will become a satisfied customer > > once > > > > again > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > MarkK > > > > > > > > > > > > > > > > > > > > > > > > > ------------ --------- --------- --------- --------- ------- -- - > > > > ---------- > > > > > > > > > > From: [EMAIL PROTECTED] <mailto:amibroker% 40yahoogroups. com> > > > ps.com > > > > [mailto:amibroker@ yahoogrou <mailto:amibroker% 40yahoogroups. com> > > > ps.com] On > > > > Behalf Of Dan Clark > > > > > Sent: Thursday, February 14, 2008 11:56 PM > > > > > To: [EMAIL PROTECTED] <mailto:amibroker% 40yahoogroups. com> > > > ps.com > > > > > Subject: [amibroker] New EOD data feed other than Quotes Plus > > > > > > > > > > > > > > > > > > > > I've been using Quotes Plus data for the last 2-1/2 years. > > > > Overall, I've been very happy with Quotes Plus data and Gary > > > Lyben's > > > > (owner/president) responsiveness. That said. > > > > > > > > > > > > > > > > > > > > In the last few days, I've swapped several e-mails about a > > minor > > > > billing issue (credit card renewed with different number) with a > > > > woman in his billing department. What should have been a very > > minor > > > > clerical issue left me feeling EXTREMELY angry and offended. > > > > > > > > > > > > > > > > > > > > I vowed to switch my data feed from Quotes Plus to another data > > > > feed as soon as possible. This is a major issue for me because of > > > > the amount of AFL recoding involved, but I can no longer do > > > business > > > > with Quotes Plus. > > > > > > > > > > > > > > > > > > > > I need some options for other EOD data feeds. What EOD service > > > > are you using? What has your experience been? What are the > > > > alternatives now? > > > > > > > > > > > > > > > > > > > > Thanks and regards, > > > > > > > > > > > > > > > > > > > > Dan. > > > > > > > > > > > > > > > > > > > -- > Regards > > ChrisB >
