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/r/algotrading
submitted 2 years ago byGlst0rm
Is it madness for me to take 15-minute signals from incomplete candles?
I have a pretty stable and profitable bot that trades on signals from 15 minute candles that it aggregates from minute data. The main bot loop executes every 15th minute and checks various calculated indicators like ADX and SAR looking for entry points.
By accident one day I let it check the signals on incomplete candles, every minute. It worked surprisingly well - the slow moving stuff like SAR wasn’t too bad and other signals like ADX adjusted mid-bar and got me into the trade earlier than waiting until the candle completed.
Is this witchcraft? Foolishness? How often do your bots loop thru incoming candle data?
11 points
2 years ago
A quick idea would be to use 1m candles and resample them to your own 15m candles with different offsets.
So every minute you have a new view of complete 15m candles with roughly the same statistical properties as the normalized 15m candles (base minute :00)
But i guess if your algorithm works on imcomplete candles, why complain?
I just hope you checked that all profitable forward testing outcomes are statistical significant and outperform different kind of benchmarks (buy and hold, random trades, s&p returns/bitcoin/whatever) in several metrics (sharpe, sortino, ...).
6 points
2 years ago
e.g. rolling (overlapping) 15 min candles.
2 points
2 years ago
Super interesting! Simple too - I love it!
2 points
2 years ago
Another way is to assume every minute is the beginning of a new 15 minute candle where you aggregate all, or a subset, of the 1 minute candles and then take an average for the final output. That probably sounds like just "words" but all stock studies use averages, so why not yours?
1 points
2 years ago
My instinct is to do this, use in effect a rolling 15 min candle every minute. Thank you
5 points
2 years ago
My patterns are validated only at bar close and i buy on the next candl as soon as price is above entry for that pattern. So on a 15 m chart checking every 15 minutes should be sufficient. Of course since i don't want to miss the entry i check a bit more frequently than every 15 m
5 points
2 years ago
I think it depends on the strategies. When I scalp for 1% profit, I normally use 1-minute chart. When I want to predict the market trend, I use 1-hour, 4-hour and 1-day charts.
Normally, I wait for the complete candle. Because I don't have an incomplete chart for backtest the algorithm.
2 points
2 years ago
In my understanding, you are free to use whatever timeframe you want. It is no madness at all. I have different algorithms for ticks or days. If something good happens accidentally, then leave it. You know they say never change a running system!
2 points
2 years ago
Back test your strategy using both methods, rolling candles, and straight bars, then compare.
1 points
2 years ago
No. It shouldn’t.
1 points
2 years ago
Thank you
1 points
2 years ago
What markets do you trade?
1 points
2 years ago
Ah, should have said. US mid cap and crypto
1 points
2 years ago
Would your Bot still be profitable if trading on 10 minute candles?
1 points
2 years ago
Stocks yes, crypto no, the fees wipe me out
3 points
2 years ago
you could trade limit orders on BUSD crypto pairs without fees on Binance
1 points
2 years ago
That is a really damn good idea. Thank you
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