Sorry to hear about your ankle, I used to bust mine up playing basketball. Finally as a freshman in a JayVee game in college I was knocked out permanently.
What the heck, if I made it to the NBA I'd be out of work this season anyway.
The trick with open interest, volume and COT data for that matter, is to make sure that you are not providing your models with data that you wouldn't have had in the past. I use lags of volume and OI to ensure that they are available when the model makes a prediction. I also delay my COT data by at least a week. I also preprocess it using Steve Briese's COT Index.
I have to look into that to see what I'm missing. My thoughts were along these lines; if I trained a model on COT data it would re-adjust itself unbeknownst to me every two weeks back 10 trading days because it refills in that data and now has different parameters.
So, in verification and test I might have a short signal going into November 13th but after the 11/13 COT data gets loaded I might find that the system went back to November 10th, for example, and tell me after the data was loaded that it's been long for 3 days.
Now I guess you are telling me that I can work my way around this issue somehow....but I think if I do then I have to somehow tell the machine to give me weekly signals, not MOC next day. Then, perhaps the data should be loaded weekly instead of daily.
I cannot quite get my arms around it as yet. I'd appreciate a link to where you get info from Steve Briese...the smallest thing might trigger Enlightenment, Eureka, Serendipity, whatever one wishes to call it. As for general market direction I have a few tools I worked up recently that do that fairly well. Particularly a crossover method described in last Feb's TASC that is pretty simple and fairly effective.
The computer problems, although legendary, will always be there. Not a day goes by that at least one of the machines has a software glitch. But the data for Profit is ready to load; Pinnacle sent me ASCII history instead of MS and that twisted me around for a few days. The computer comes down to Dallas with me Friday so I'll have time on the flight to smooth everything out a bit.
Worst that can happen is I'll shut it down and order a brace of mimosas if I get frustrated. |
