3. Avoiding lookahead bias with multiple timeframes
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Avoiding lookahead bias with multiple timeframes

  • ?

    I feel like I'm starting to get the hang of things...

    Let's say you're looking at an hourly compression vs a subhourly compression (not through resampling).

    I've noticed that I get the close of the hourly while the subhourly one hasn't yet reached the close of the hourly. I feel as if I'm doing something wrong.

    I can write up an example but I'm on the phone so I'm wondering how to solve this problem. Does this make sense?

    Thanks!

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  • P

    @Cheez said in Avoiding lookahead bias with multiple timeframes:

    Does this make sense?

    No it doesn't.

    @Cheez said in Avoiding lookahead bias with multiple timeframes:

    Let's say you're looking at an hourly compression vs a subhourly compression (not through resampling).

    If it's not through resampling ... you should then let us know how ... so that it makes sense.

    There are several threads of people complaining because the platform avoids the lookahead bias with multiple/single timeframes and how they can overcome this. You may have found the holy grail for them. They would be for sure happy with your code.

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  • ?

    Well, you are correct! Thank you for the response.

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data feed 5 tstamp 2 lookahead 1
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