I noticed the last few days that my MACD filter on the Donchian system is at an inflection point on one commodity I trade. So it will show long trade entries for a few days, then the next day the long disappears (it is rejected) and the order list shows a short trade entry point as the MACD flips about.
Yesterday, using data from 6/15, I had a buy stop order to go long this market on 6/16. This did not get triggered. However, once I downloaded the data after the close on 6/16, it no longer showed any active long order (it shows up on the rejected list spreadsheet instead) but it does show that a short order was supposed to be filled.
Going back to my generated orders on 6/15, there was no indication to have a short stop in the market at all, since it was being rejected by the portfolio filter and I was supposed to have a long order active. Anyone else had issues similar to this? Is there a reason why TB is assuming it went short? Any workarounds?
Portfolio Filter inflection point and trades
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- Site Admin
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Set the test end date, generate orders, then set the test end date ahead and generate orders. If everything looks ok then it was a data change issue. One of the things I do is use Generate Forward in CSI UA to help stabilize the data. But if CSI made data corrections or otherwise, then things can change as the historical data changes.
Thank you gentlemen. Tim -- That is exactly what I had done to test the order, and everything else across all markets was fine, thus it must be a data issue. The contract in particular is the Rough Rice, July. Disturbing to see how data can "change" after the fact. Now the decision becomes to chase the order 1.6%, let it slide, or put in a limit and see if I get filled (but then it is technically moving in the wrong direction!).
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- Roundtable Knight
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Each day make a copy of all your futures and forex ASCII files and place them in a separate dated folder for each day. When you come across such issues you can then easily track down data differences. Once a month or so you can then delete month old ASCII files so as not to accumulate too much clutter. LINKMarkS wrote:thus it must be a data issue
Hi AFJ, I'm interested in this discussion and your and Tim's suggestions - I see the confusing impact of CSI historical adjustments. You posted a link but for me it's empty.
Moderator's note: that link points into the Trading Blox Customers Only area of the website. It is not accessible unless you're a customer ---> (tutorial)
Moderator's note: that link points into the Trading Blox Customers Only area of the website. It is not accessible unless you're a customer ---> (tutorial)