What exactly is the reason for not providing hourly or daily bars for Futures? Is there some evidence that well-known trend following strategies using daily bars, such as the ones introduced in this book, work just as well, or even better using shorter bars? Doesn't a higher resolution mean more noise and higher transactions costs?
Hourly or Daily Future Bars
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So i think 1 of the answers is that is just what AlgoSeek (The data vendor provides). However, you can trade with whatever bars you want by using consolidators.
To answer your technical question in another way, no second data isn't better than daily or hourly but I think the Futures market trades more volatile than any other market. The futures market trades in ticks. and one ticket could be worth like 10dollars instead of 1 cent. so you are dealing with 100 times leverage. If a contract moves against you during 1 day at 100 tickets, thats 1000 dollars lost on one contract. Whereas if you were trading stocks you would have only lost probably 10 dollars. (1000/100 =10)
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We have simply limited bandwidth and have chosen to focus on intraday resolutions of data for now. Once we really perfect those for backtesting and live-trading we can consider extending it to daily data.
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
0
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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