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Sunday
Jan082012

Getting control of intra-day signals in daily timeframe rules

 

So you set up a 20 day by 50 day simple moving average bullish cross.  But don't like how you won’t get a buy order until the next or even the following day.  

 


As you can see in this chart the cross looks like it happened on 1/03, so the signal was true for the whole day of the 4th and our order was bought at 9:30 of the 5th at the open.  Actually the cross would have been only close to crossing on the 3rd and in reality the price movement on the 4th redrew the 20 day SMA line so that it appeared to have crossed on the 3rd.  But in any case I am not happy with that much delay in getting an order filled.

 

You could try setting the forming bar in the Signal node to "On" but that may be adding a layer of complex issues for other rules because if it is turned on for one rule in your strategy it affects all of the rules in your strategy.  So what happens to any Previous nodes you have in your strategy, do they need to be adjusted by a day?  Probably.

 

Since Prodigio easily lets you mix and match timeframes from different charts, I can increase the sensitivity of a signal by using a faster multiple of the shorter line.  So in the above rule you could change the OHLC(Daily,20) to a OHLC(60min,130) like this.

 

There are 6.5 hours in a trading day,  20X6.5  = 130, so a 130 period SMA is the hourly equivalent of the daily 20 period SMA.  

 

When we run a backtest with that here is the what we get orders that fire much closer to when the condition was triggered


 

In this case with Whole Foods (WFM) we did not end up with a better fill but with SLM, FXP, XLF we did get better fills and if you are wondering what happened to JPM and UNG their crosses occurred before my testing started with this technique.  We also picked up more hits that would have happened later with the first rule.

 

You can also do this with shorter timeframes to gain sensitivity like if you like 15min timeframes and you wanted to use the same SMA(20) crossed above the SMA(50) rule using 15 minute OHLC's you could use a five minute SMA(60) or a 2 minute SMA(150) as the equivalent simple moving average lines that will give you a signal within the 15minute bar instead of waiting until after the 15 minute bar is closed.

 

There are a few limits to what we can do with this technique, like 200 is the upper limit for the length value.  And it might not work with all of the Technical indicators but  overall I like knowing that I can gained a margin of control for when I get filled by using this method.

 

 

 

 

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