Just to be clear, gaps don't affect the mechanical system
approach, right?
Even on a gap, you still have to wait for the fast EMA to
cross the slower EMA, yes? For the SRS 15 min (9/39) in
today's gap, the short signal short came at the close of bar
#7, right?
the back testing was done without filtering out the gaps, so the
states are based on every trade and that includes gaps.
Sometimes gaps gave good signals and sometimes they gave bad
signals, however the back testing was done with each signal
regardles if a gap occured or not
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Gaps and the Mechanical Systems
regarding SRS, the answer was in the mechanical systems
Posted by pdquig on 23rd of Mar 2009 at 05:13 pm
Just to be clear, gaps don't affect the mechanical system approach, right?
Even on a gap, you still have to wait for the fast EMA to cross the slower EMA, yes? For the SRS 15 min (9/39) in today's gap, the short signal short came at the close of bar #7, right?
bar # 7 looks right
Posted by bkout3 on 23rd of Mar 2009 at 05:31 pm
bar # 7 looks right to me. I traded URE since IB doesn't have SRS shares to short
the back testing was done
Posted by matt on 23rd of Mar 2009 at 05:25 pm
the back testing was done without filtering out the gaps, so the states are based on every trade and that includes gaps. Sometimes gaps gave good signals and sometimes they gave bad signals, however the back testing was done with each signal regardles if a gap occured or not