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
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Data compression and MTM

Post by damian » Mon Apr 21, 2003 11:00 pm

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.

Sir G
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multi time frames

Post by Sir G » Mon Apr 21, 2003 11:49 pm

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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