Does the ETF trade Bandit program use intra-day data to enter on close or only end of day?
Also, have you found -does it matter if open or closed or even intra-day entries affect the overall performance?
ETF Trading Bandit
Moderator: Chris White
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Chris White
- Posts: 212
- Joined: Mon Nov 29, 2010 9:21 pm
Re: ETF Trading Bandit
The Strategies in the ETF Trading Bandit were tested using historical daily data and the results were provided for entering at the close of the daily bar or at the next open. You can see the detailed report here:
https://hpetff.s3.us-east-1.amazonaws.c ... rategy.pdf
To find current signals, the ETF Trading Bandit uses a combination of end-of-day and intraday data. What happens is that historical daily bars are used to determine the patterns, then towards the end of the trading day you run the scans using the most recent quote of Open, High, Low and Close price to form pseudo-daily bar. That way you can trade at the close of the trading day.
If you only want to trade at the open of the following day you don't need to run the scans until after the market is closed, and then the signals will be set in stone and you can place your orders for the next open.
https://hpetff.s3.us-east-1.amazonaws.c ... rategy.pdf
To find current signals, the ETF Trading Bandit uses a combination of end-of-day and intraday data. What happens is that historical daily bars are used to determine the patterns, then towards the end of the trading day you run the scans using the most recent quote of Open, High, Low and Close price to form pseudo-daily bar. That way you can trade at the close of the trading day.
If you only want to trade at the open of the following day you don't need to run the scans until after the market is closed, and then the signals will be set in stone and you can place your orders for the next open.
