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jpb

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Posts: 168

Joined: 5/11/2005
Location: Brown Deer, WI

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Subject : RE: Macro + Micro Statistics
Posted : 5/4/2018 1:50 PM
Post #44614 - In reply to #44613

Barry,
What's the strategy(s) that you used? or the systems that were active in the strategy?

We aren't looking to use this to trade, just to identify the market state for each day. So, since the Macro/Micro is using the SPY to determine the MS, we've been using it as the only symbol in the profile.

The problem is that you need 2 runs to get the market state for every trading date between 2 dates. Everything that we've tried always produces every other day data (i.e. 1/3/2000, 1/5/2000...). Changing the Data Periods to add one to it and then re-running gives us the 1/4/2000, and 1/6/2000 -- filling in the missing date.

We just haven't been able to construct a strategy against SPY that allows us to do one run instead of 2.

This isn't a big deal. Mark's method works perfect to get what we need and the run time is only a few minutes to pull the data together. So, its not worth the time to figure it out from our perspective.


Deleting message 44614 : RE: Macro + Micro Statistics


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