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Does it pay off (in accuracy terms) to load lower TimeFrame Data?



  • I was wondering if, when loading lower TimeFrame Data (eg. 1Min and resampling it to the wanted TimeFrame (1 Hour), it would take into account the order of Highs and Lows. (in relation to StopLoss and TakeProfit) (what gets hit first if both High and Low Hit TP & SL in the same Bar))

    And in General: How is it managed with Highs Lows if I directly load 1HourData, when i am using StopLoss and TakeProfits...
    Will alway StopLoss (or TakeProfit) get hit or is it random?

    Does Resampling recreate the "real" occurence order?



  • @Bayne said in Does it pay off (in accuracy terms) to load lower TimeFrame Data?:

    And in General: How is it managed with Highs Lows if I directly load 1HourData, when i am using StopLoss and TakeProfits...
    Will alway StopLoss (or TakeProfit) get hit or is it random?

    Orders are executed on the FIFO basis: order issued first executes first if conditions for it's execution met.



  • @ab_trader maybe i formulated it wrong:

    my question ist wether using upsampled Data uses the "smaller Ticks" between "Open High Low Close" for those execution signals or if it still only uses "Open High Low Close".

    Even More short:
    Do upsampled bars Take into consideration the smaller moves in between (which are Not OHLC) for executing Orders or not?

    (My purpose get a More accurate Result on situations where Take Profit and stoploss are Hit in the Same bar)



  • @Bayne said in Does it pay off (in accuracy terms) to load lower TimeFrame Data?:

    Do upsampled bars Take into consideration the smaller moves in between (which are Not OHLC) for executing Orders or not?

    Say you have two data feeds: 1 min and re-sampled 1 hour. If you use 1 min data feed for order execution, than your stop and limit orders will be executed using 1 min bar OHLC. If you use 1 hour data feed for order execution, than your stop and limit orders will be executed using 1 hour bar OHLC.

    (My purpose get a More accurate Result on situations where Take Profit and stoploss are Hit in the Same bar)
    If this happens often during you backtest and you are not satisfied with the conservative results (hit stop loss order first), than you definitely need better granularity.


  • administrators

    @Bayne said in Does it pay off (in accuracy terms) to load lower TimeFrame Data?:

    Do upsampled bars Take into consideration the smaller moves in between (which are Not OHLC) for executing Orders or not?

    You obviously don't now what upsampling (known as resampling) means. Smaller moves cannot be taken into account because the information is lost. You compress (with information loss) n-bars into 1-bar.

    You may use use the resampled data to trigger signals and target the lower timeframe for execution. Or use replay: https://www.backtrader.com/docu/data-replay/data-replay/



  • @backtrader replaying is a very useful advice, thank you.

    How about the question of what ist Bering preffered by the Order execution in the Case of a bar which Hits Take Profit and stoploss at the Same bar? Which one would be executed first? (Without replaying data)


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