Traders' Roundtable

the Bollinger bandwidth oscillator would probably be helpful for this, but I can't exactly tell what you're asking.

One quick and dirty method of data checking to get a sense of the accuracy any tick data source is to form daily bars from the tickdata and then check the high and low versus known good historical daily data. It is amazing what this simple check will reveal about many vendors’ tick data...no ...

I'm about to spring for the 15yr package. Data is cheap compared to the cost of being Wrong. They also have a .pdf on their scrubbing algorithm which is a good overview of some of the issues that come with high-freq data.

What if it doesent bounce back or fill at your lmt?

Then you Lose. :twisted:

Seriously though, if you look at traders like Chick Goslin, he often doesn't have a stop on overnight for this very reason. What we're trying to avoid is getting stopped out because of overnight-session shenanigans ...

This kind of thing happens in mini contracts pretty often. Big selloff in the illiquid overnight session, then opens way down, takes out a ton of stops and bounces back to normal within a half hour. As was mentioned, not such a big deal for people trading daily bars as opening gaps figure into ATR ...

If $200 is really that big a deal, then it will either do one or the other, and do it hard. There's also a chance it will start to do one, then do the other. Will you be paid a good enough premium for predicting the future?

Whoo, thanks for this thread. I had to sketch out the bars to make it really 'click'. My very simplistic idea for "volatility adjusted volatility" was to apply your favorite volatility measure (SD, ATR,etc) to a chart of the TR, then take the value of that measure, weight it and multiply by ATR ...

For me, the odd part was about his models changing weekly.

Markets do change, but on a weekly basis?
He could be referring to adaptive systems, rolling optimizations, etc. If your entry criteria has the term ATR in it, then isn't your system changing by the week? A simple example, but still ...