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Modelling Scheme


As you guys know, I write down ideas as they come about :). Currently, Protrader supports the most accurate modelling scheme--tick data. But if you're optimizing strategies for any period of time, then you would know that the best modelling scheme to use is 1-min for higher timeframes.


1.) It is a lot faster. If you're on an hourly chart, you will get an update 60 times on that bar. If it is tick data, hundreds of times, possibly.

2.) Price usually doesn't move too much during a minute.

3.) There is a positive, but imperfect correlation between a strategy that does well with 1-min data and tick data.

So basically, 1-min data is an excellent way to filter out possible losers and at a much faster pace. And with the ones that stand the test, then tick data would be good to use.

Now, I believe a good addition would be if Protrader offers custom modelling scheme. Maybe you want to sacrifice a little bit more accuracy for speed. In this case, why not create a custom modelling scheme of 5 minutes or 2.5 minutes.

For instance, I believe the control point feature that MT4 has is 2.5 minutes. So in an hourly candle, you will get an update at (2.5, 5, 7.5, 10, 12.5...60).

So you are getting an update only 24 times instead of 60. If you do the math on that, then you would know that using 2.5 custom modelling scheme would allow you to finish 2.5 times faster. If 1-min would've took 2.5 hours to complete, now you're done within an hour.

This works well for higher timeframes and higher protective levels, but if you're scalping, then you need to be on tick data.

So basically, a custom modelling scheme would allow the programmer to use his/her own judgement to have the perfect blend of speed and accuracy.

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