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Non-Tech : OmniTrader-Do you like it???
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To: DaveJ who wrote (390)2/17/2000 5:37:00 AM
From: mark_andrews  Read Replies (2) of 402
 
Hi Dave,

The trades disappearing is what I meant by:

"OmniTrader change it's mind? That is cause because the TA's used are not stable when optimized as you add data to the stock. This is quite common and until now, optimized and stable TA was a myth."

There are ways of making this problem disapear but I do not know if OmniTrader has the tools needed to do it. The first thing you have to do is a reoptimizing forward test on existing data. This test will indicate of the model is stable or not. The re-calc settings are changing internally with the stock movement. OT is changing indicators or even re-optimizing. This is normal and not a flaw in OT. This is just how TA's are unless you use the right approach. I am not sure at this time if there is a right aproach for single stocks. When you rank stocks of 2-10 in a model and choose which one is the best to hold, this is the only way I have found that yields stability. I have models that have been rock solid for over 3 years. The models never change their mind and trades never disapear unless the model optimizes to a differant setting. If the model is stable, trades will not disappear.

Real Time is the worst and very likely to cause this problem. What time frame is your historical data? Is it End of day?

If your historical data is end of day, you can only use the real time between 3:30pm and 4:00pm. If the historical data is tick data, then you hopefully have clean data. The problem with tick data is there are lots of errors live and every tick is subject to change mid stream. You will be fighting two problems at once because the historical tick data can and does change. If you can setup OT to re-calc on open prices, then you can make your trades on the open. Anything other than using open or close and you will continue to have trades that disapear.

Regards,

Mark Andrews
bulltrack.com
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