Jim Dean Sage     Posts: 3433 Joined: 3/13/2006 Location: L'ville, GA  User Profile | Hi, Mark: Wow - those are excellent questions, both of them ... but the answers are really pretty long (at least if you want GOOD answers :~) I've written quite a bit about optimized backtesting on the N forums ... do a search under Jim Dean for the string "backtesting" in subject and body, in the OT and OTPro and NClub (if you are a member) forums, and you'll find plenty to consider. I've also written a lot about time periods (ie bar-lengths) ... but I'm not sure what would be the best thing to search on. A few nutshell considerations about time periods: 1. shorter bar-lengths require stocks with higher liquidity to avoid bad slippage ... so, if you're willing to "bullseye" a short FL of highly liquid stocks, then you can use fast bars like 1-3 min. If you want a broader FL universe to select from, you'll need to use longer bars (15-60m) and permit lower liquidity thresholds in your searches. 2. if your trading is HIGHLY automated/mechanized, so that you don't have to "think" much in order to execute, then you can consider using fast bars ... but if you prefer to ponder things and be more deliberate about your trading, then to AVOID EMOTIONAL PITFALLS (fear/greed), you should pick slower timeframes. 3. If your personality &/or lifestyle tends to contain a frequent bouts with stressfull situations, or lots of distractions, then my strong recommendation is either to not trade at ALL during those times, or limit your trading to daily bars. This is a VERY serious and important recommendation. Read books by Van Tharp and Mark Douglas for more about psychology of trading. Muy importante! Summary ... thar jest ain't no rite ansur fer evrybudy! [Edited by Jim Dean on 4/14/2010 10:52 AM] | |
