Closing prices only...

How do you know when a trend has started? Ended? This forum is for discussions about trend indicators and signals.
Post Reply
Moritz Mechanicus
Roundtable Fellow
Roundtable Fellow
Posts: 68
Joined: Tue Jun 22, 2004 5:12 pm
Location: Europe

Closing prices only...

Post by Moritz Mechanicus » Fri Aug 13, 2004 7:54 am

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. :cry: 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

damian
Roundtable Knight
Roundtable Knight
Posts: 815
Joined: Tue Apr 15, 2003 8:43 pm
Location: dusseldorf

Post by damian » Fri Aug 13, 2004 9:26 am

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.

damian
Roundtable Knight
Roundtable Knight
Posts: 815
Joined: Tue Apr 15, 2003 8:43 pm
Location: dusseldorf

Post by damian » Sun Aug 15, 2004 5:52 pm

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)

verec
Roundtable Knight
Roundtable Knight
Posts: 162
Joined: Mon Jun 09, 2003 7:04 pm
Location: London, UK
Contact:

Post by verec » Mon Aug 16, 2004 3:18 pm

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

raymcboyd
Contributor
Contributor
Posts: 3
Joined: Tue Jun 22, 2004 12:50 pm
Location: UK

closing prices only

Post by raymcboyd » Wed Aug 18, 2004 4:34 pm

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

Post Reply