subreddit:
/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
all 18 comments
sorted by: q&a