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It seems that there is a problem with the efs.
The tick readings are from the first bar an a $TICK 15 min chart (in a 9:30 - 16:15 time period). That bar appears to represent the opening and not the first 15 min of trading. The second bar represent the first 15 min of trading and those tick values are not used; and neither are the correct ones because that bar does not include the opening.
If I set the 15 min $TICK chart to start at 9:45 (rather than at (9:30) I get the correct readings. However the EFS uses the first bar (a 9:30 bar) contrary to the Active Trader author intentions.
Will you please clarify If I am correct or not in my interpretation of the efs generated data. Otherwise I will have to use a manual approach to an otherwise very interesting strategy.
Thank you
Carlos
The tick readings are from the first bar an a $TICK 15 min chart (in a 9:30 - 16:15 time period). That bar appears to represent the opening and not the first 15 min of trading. The second bar represent the first 15 min of trading and those tick values are not used; and neither are the correct ones because that bar does not include the opening.
If I set the 15 min $TICK chart to start at 9:45 (rather than at (9:30) I get the correct readings. However the EFS uses the first bar (a 9:30 bar) contrary to the Active Trader author intentions.
Will you please clarify If I am correct or not in my interpretation of the efs generated data. Otherwise I will have to use a manual approach to an otherwise very interesting strategy.
Thank you
Carlos
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