Dukascopy
 
  
Wiki JStore Search Login

Post new topic Reply to topic    Pages: [ 1 ] Print view  
Cubic Spline Interpolation method
Illya
 Post subject: Cubic Spline Interpolation method Post rating: 0   New post Posted: Thu 08 Dec, 2016, 19:03 
User avatar

User rating: 6
Joined: Wed 05 Mar, 2014, 12:00
Posts: 116
Location: Ukraine, Odessa
Greetings Support.

For about few month in order to speed up my backtesting I tried to improve it by Cubic Spline Interpolation method. I found that it gives me different indicators value, and therefore as a result of different candle OHLC prices.
See a picture.

Image

By a red circles I shown only that I firstly got in my sight. So difference on any candles.

Please investigate.

Please also consider
https://www.dukascopy.com/swiss/english ... ine#p70686

Kindly regards
Illya Budayev


Attachments:
Безымянный.png [117.47 KiB]
Downloaded 650 times
DISCLAIMER: Dukascopy Bank SA's waiver of responsability - Documents, data or information available on this webpage may be posted by third parties without Dukascopy Bank SA being obliged to make any control on their content. Anyone accessing this webpage and downloading or otherwise making use of any document, data or information found on this webpage shall do it on his/her own risks without any recourse against Dukascopy Bank SA in relation thereto or for any consequences arising to him/her or any third party from the use and/or reliance on any document, data or information found on this webpage.
 
Illya
 Post subject: Re: Cubic Spline Interpolation method Post rating: 0   New post Posted: Thu 15 Dec, 2016, 10:56 
User avatar

User rating: 6
Joined: Wed 05 Mar, 2014, 12:00
Posts: 116
Location: Ukraine, Odessa
Any replies???
 
Illya
 Post subject: Re: Cubic Spline Interpolation method Post rating: 0   New post Posted: Wed 21 Dec, 2016, 13:52 
User avatar

User rating: 6
Joined: Wed 05 Mar, 2014, 12:00
Posts: 116
Location: Ukraine, Odessa
Hi guys!
Any news?
 
Platform Support
 Post subject: Re: Cubic Spline Interpolation method Post rating: 0   New post Posted: Tue 27 Dec, 2016, 11:04 
JForex Master
User avatar

User rating: ∞
Joined: Wed 16 Sep, 2009, 18:23
Posts: 1049
Location: Geneva, Switzerland
Higher highs and lower lows are possible in Cubic spline. Avoid this method if this is important.
 
Illya
 Post subject: Re: Cubic Spline Interpolation method Post rating: 0   New post Posted: Tue 27 Dec, 2016, 15:40 
User avatar

User rating: 6
Joined: Wed 05 Mar, 2014, 12:00
Posts: 116
Location: Ukraine, Odessa
Greetings.

Thanks for reply.

Quote:
Higher highs and lower lows are possible in Cubic spline. Avoid this method if this is important.


What that means? Do you plan correct this issue?
That is a only one method to speed up a backtest on Jforex platform keeping a maximum simulation of market action.
 
Platform Support
 Post subject: Re: Cubic Spline Interpolation method Post rating: 0   New post Posted: Tue 03 Jan, 2017, 13:10 
JForex Master
User avatar

User rating: ∞
Joined: Wed 16 Sep, 2009, 18:23
Posts: 1049
Location: Geneva, Switzerland
I mean this is absolutely normal with Cubic spline method:
https://en.wikiversity.org/wiki/Cubic_S ... erpolation

There is another one method available, which is "4 ticks at OHLC". It does not have this problem.
 
Post new topic Reply to topic      Pages: [ 1 ]  
Display posts from previous:   Sort by    

Jump to:  

cron
  © 1998-2024 Dukascopy® Bank SA
On-line Currency forex trading with Swiss Forex Broker - ECN Forex Brokerage,
Managed Forex Accounts, introducing forex brokers, Currency Forex Data Feed and News
Currency Forex Trading Platform provided on-line by Dukascopy.com