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Closing prices only...
Posted: Fri Aug 13, 2004 7:54 am
by Moritz Mechanicus
I have just subscribed to a Dial Data account for end of day data. However, to my surprise I noticed that for several indices only the closing prices are submitted and of course those are the indices that are most relevant to me.
Most of the other data is opening, low, high, closing, volume etc.
How severely does this limit my ability to test and analyse markets? (in other words: should I look for another data vendor once my six months have ended?). Can one perform meaningful test and analysis with closing prices only?
Remember: I am just beginning to learn about trading and testing.
Moritz
Posted: Fri Aug 13, 2004 9:26 am
by damian
MM, When you say 'indices' do you mean the actual cash basket or the future? It seems strange that a future would only show the C, but a cash series I could perhaps understand not having a full OHLCVOI.
Highs and Lows are useful data points for intra-day stops and entry orders in testing a long term system. As Hiramhon suggests, check to see if your rule set requires these data points. If you don't actually have a system yet then I would make sure that you have OHLC as you will likely devise a test that requires those daily levels at some time in the near future. On the flip side, if you don't have a system then I wouldn't spend money on an end of day data feed yet either.
Posted: Sun Aug 15, 2004 5:52 pm
by damian
Perhaps if you are going to trade the futures than you should test using the futures.
(I am assuming that you are trading the futures as trading an actual index/basket is not always a trivial task)
Posted: Mon Aug 16, 2004 3:18 pm
by verec
The most serious limitation with close price only is that you won't be able to compute the ATR and you will have to use/invent other ways to measure volatility.
According to
The Original Turtle Rules the ATR
(called "N") does use H and L as in:
Code: Select all
To compute the daily true range:
True Range = Maximum(H-L, H-PDC, PDC-L)
where:
H – Current High
L – Current Low
PDC – Previous Day’s Close
To compute N use the following formula:
N = (19 * PDN + TR) / 20
where:
PDN – Previous Day’s N
TR – Current Day’s True Range
closing prices only
Posted: Wed Aug 18, 2004 4:34 pm
by raymcboyd
In addition to not being able to calc ATR, you will not be able to see the maximum intra-trade drawdown.
For that reason alone, I'd be sure to get OHLC data so you can determine your own Uncle Point for the system
Ray