Thanks Edward/Graham for the useful responses. I think I found my problem. I was looking at trading of FAS/FAZ, which was thinly traded in oct/nov08 timeframes, and did not have a trade always at the end of the 15 min bar...If I look at Jan09 to now...The bars/signals are all correct.
BUT this brings up a great point...This will behave differently with a real-time intraday setting because as Edward said, the close is continuously changing as the bar is being built, until the period is complete. I will have to look into this. This is more likely the system that I will be using real-time...waiting for intrabar signals, although the backtest will always show end of bar signals because there are no trades in-between the building of the bar (only, high,low,open,close) > could be you have not set the analysis window to 15 minute bars, but > then results would not compare to your charts > If your charts do not show the bar times that correspond to round 15 > minute values then your preferences can be set to align to market > hours and to start time of bar > Also check the database setting is also set to 9:30am start time. > > > -- > Cheers > Graham Kav > AFL Writing Service > http://www.aflwriting.com > > > > 2009/4/20 Edward Pottasch <empotta...@...>: > > > > > > in real time the close is the last price traded. So within a 15 min bar you > > may see many signals appear and disappear using your constraint. If you want > > 1 signal exactly at the cross (an intrabar signal) you need to use: > > > > buy = cross(H,EMA(Close,9)); > > > > if you want to use the close of the 15-min bar when it is finished you use: > > > > buy=cross(C, EMA(Close,9)); buy = ref(buy,-1); > > > > > > > > > > > > ----- Original Message ----- > > From: shakerlr > > To: [email protected] > > Sent: Monday, April 20, 2009 3:28 AM > > Subject: [amibroker] can a 15 min bar have a cross(x,y) trigger in the > > middle of the bar time? > > > > I'm pretty new with AB...so bear with me...please. > > > > I have created some backtesting strategies where I trade the cross of the 15 > > minute bar as follows: > > > > buy=cross(C, EMA(Close,9)) > > > > I have noticed that I get these signals at times that do NOT cross the bar > > period...ie, for a backtest I get a signal at: > > > > 12:40 pm > > 2:27 pm > > 2:11 pm > > 3:13 pm > > > > They seem to be in the middle of a 15 min period, not the end of the bar. Is > > this possible? Should the close not be the close of the 15 minute bar, > > aligned on 15 minute periods? Or am I missing something. > > > > My trading is from EST timezone, so 9:30 is the start period. > > > > > > > > >
