Data compression and MTM

Discussions about the testing and simulation of mechanical trading systems using historical data and other methods. Trading Blox Customers should post Trading Blox specific questions in the Customer Support forum.
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damian
Roundtable Knight
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Joined: Tue Apr 15, 2003 8:43 pm
Location: dusseldorf

Data compression and MTM

Post by damian »

If I have a system that trades monthly bar compression, do I MTM on a monthly bais or a daily basis?

Further, my entries are on the basis of monthly bars but do I move my stop according to daily bars? I suppose I could either reference daily or monthly bars for stop calculation and periodical adjustment.

Many thanks.
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Sir G
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Posts: 243
Joined: Wed Apr 16, 2003 12:21 am
Location: Salt Lake City, Utah

multi time frames

Post by Sir G »

Hi Damian-

If you are talking about pro-forma data and the like, the last time I dealt with it the look was monthly. This has a nice way of forgiving dips during mid month. But.. I can be wrong on how you want to handle it.

For another view of it, please follow this link:
viewtopic.php?t=89

Sir G
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