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Sorry if this is the wrong place for this, but I've Googled around quite a bit and can't find this spelled out anywhere. Most of the common indicators seem to be based on daily periods. If I want to incorporate an indicator value while backtesting bid/ask tick data - say a 10 day moving average - do I need to resample the ticks into 1-day data, run the indicator on it, and then merge the daily indicator values back in with my tick data?

Since Forex is a 24 hour market, what time should I consider the "Close" for the day? 11:59:59pm GMT?

Also, if they are only updated on "Close", does this really mean that most of the commonly used indicator values are constant for the entire trading day, or have I just not looked into enough indicators?

Thanks for your help.

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Regarding your first question on the Closing time for the FX market, this is correct, you should consider the 11:59:59 pm GMT as the close. This approach is the most intuitive one and is also the one used by Bloomberg when displaying the graph price.

For the second question, if the indicator you want to compare to uses daily data, then you need to sample daily data from your dataset as well (by taking the closing daily FX values for instance). With this approach you would lose the information contained in your intraday data though.

I would recommend you compute your indicator on your tick data and then normalize it to get daily / weekly / yearly data so that you capitalize on your available tick data.

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  • $\begingroup$ Thanks for your help - they won't let me upvote yet, but it's very much appreciated. $\endgroup$ – fxdmmy Feb 16 '17 at 23:37
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You can also adjust your statistics so they match a smaller time frame. For example, you could create Open, High, Low, Closing statistics for 5 minute chunks of tick data, and from then, calculate a moving average from that data set.

It really depends on the granularity you want to look at. If you go too small, you'll start picking up micro structure noise like the bid-ask bounce - i'd recommend for a few trades a day, use 15 minute data (at the smallest) but if you want to research at a higher granularity, then you're probably best off using other metrics/methods.

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  • $\begingroup$ This was very helpful, too. I can't upvote yet, but thank you. $\endgroup$ – fxdmmy Feb 16 '17 at 23:39

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