Upgrade May 20, 2005

More hints for intraday trading

Timing Solution operates with three types of price data. It is very important to distinguish these data because the manner of calculating the projection line by Neural Net module strongly depends on it.

1) Daily  data - when we have one price bar per one day. The sample of such data looks like this:

 Working with this type of data, we need to exclude weekends and holidays in "Options":

The projection line generated for this data sample is shown here:

In this case, the program generates a projection line on a daily basis and skips weekends/and holidays automatically. 

2) Daily Intraday data - when we have intraday data stream during the day. For example, if it is measured by 5 min ticks, we will get for just one day many 5 minutes price bars. In other words, this type of data allows to observe the intraday dynamics of the price change, and this dynamics is limited by trading hours (i.e., from 9:30 am till 4:00 pm).

This is the typical example of such kind of data:

For any day (except weekends and holidays), we have 6:30 hours bunches of price data. In this case, you should set up the time when trading starts and ends during the day:

Look how the Neural Net will generate the projection line under these options:

The program will skip non trading days and non trading hours (these periods are marked by red stripes under the time scale). If you will try to set daily options for this kind of data, you will not get the intraday projection curve. The program must know what kind of data it operates with.

3) Weekly Intraday data - this kind of data correspond to intraday data within trading hours. The trading begins (as an example) at 9:30 am Monday and stops at 4:00 pm Friday. During this five day period, we have continued intraday data stream (like for Forex). This is the typical example of weekly intraday data:

Here we have the data where the trading begins at 3:00 am every Monday and ends Saturday at 7:00 am (local time) every week.

For this particular example, set these options:

This is the projection line generated by Neural Net under these options:

We have series of continuous 5 days data. If you try to use Daily-Intraday for this kind of data, you will not get the projection line for non trading hours (like on Wednesday from 4:00 pm to 9:00 pm).

May 20, 2005

Toronto, Canada