Indicators, night data or not.

[Jyde]

Hi all,

I have before wondered about the chosen sessions influence on indicators (period driven ones, like MAs, MACD, RSI, etc.), though must admit I have never given it all that much weight. That is, until I started comparing indicators between different feeds and broker charts.

Let's take Dow as an example: You can choose to show the whole session, with night data, or you can limit yourself to just the US pit hours (or indeed any other combination).

To cut a long story short, I had charts from two different brokers up on the screen, same indicators and periods, though suddenly noticed that the indicators (MACD and RSI) were moving almost opposite to each other. I found this to be due to one of the brokers had night (all) data included, the other only day (EU and US combined). Made a heck of a difference.

Ok, it stands to reason that, using ex. hourly charts, having the Asian session included will make a difference (whereas using 1 min. charts at mid-noon with a 10 bar indicator will not) but I would never have thought it would give such a noticable difference in direction. Should have paid better heed, I guess...

Curious to know people's take on this. Do you only include date from the session you trade, do you include the lot, or could there even be a TA approach to it (ex. where including only select periods gave a more responsive MA, or even weighing sessions)?

Thoughts appreciated (and yes, I brace myself for the 'don't use indicators' response, though that actually might be a good one from the differences I have seen)!

All the best...

 

[jmreeve]

All the evidence I have seen shows that standard out of the can indicators perform no better than random.

Indicators are a way of providing a basic summary statistic of a particular market behaviour.
If you knew what you were trying to measure then you would know how to construct the indicator.
Otherwise I don't see how the indicator can have any meaning anyway.

 

[Jyde]

jmreeve, naturally I must agree with you, though there are plenty of strategies/systems/posts - including on this boards - that simply refers to ex. a MA50, a MACD3.10.16, etc, also on intraday relevans. None specific to the extent of ex. 'an MA50 on US opening only' or the like.
Surely, there must be plenty of span for miscomunnications or different readings in that alone?

I am more curious to know what people read in to this in a general sense, and if others have noticed any averse results by not taking the session into account. Those who do use indicators, that is...

 

[jmreeve]

Of course there is also the assumption that the bars will be the same in terms of the OHLCV prices.
Have you ever tried comparing data from different sources?

 

[rols]

jmreeve, naturally I must agree with you, though there are plenty of strategies/systems/posts - including on this boards - that simply refers to ex. a MA50, a MACD3.10.16, etc, also on intraday relevans. None specific to the extent of ex. 'an MA50 on US opening only' or the like.
Surely, there must be plenty of span for miscomunnications or different readings in that alone?

I am more curious to know what people read in to this in a general sense, and if others have noticed any averse results by not taking the session into account. Those who do use indicators, that is...

To be honest I spent a few years looking at indicators and ended up with a bowl of spaghetti on my screen. I'm sure people do use indicators succesfully but IMO there are other skills that are being used which gives the impression that the indicators are leading them. Pretty much of the time IMO MA crossovers are about as much use as the proverbial chocolate teapot. As for Woodies CCI, I 'd be brandishing a white stick if I'd carried on down that route.
On the subject of vaying data I noticed this a while back when I was involved in automation and came to the conclusion that back testing using indicators is also fairly useless. Then you have the question of continuous data or market hours data which produce very different indicator values again.
I'm afraid I'm with the majority here against indicators. But you have to come to that conclusion yourself before you can trade freely without them.
I like that saying - "hindsight is always 20/20."