I have recently finished backtesting a strategy where I added in 1 second granularity, which when applied to the 15 min chart I wanted to test on gave me accurate entry/exit results without soaking up loads of processing capacity - which would have happened if I went down to tick by tick. (I ran 5 years of data in the tests). Entry and exit signals where triggered by price.
I am now testing another strategy where I want to achieve the same, i.e. adding 1 second data to 15minute charts. This time however entry and exit signals are triggered by indicators only. Specifically I want to enter/exit when an indicator running on the 1 second data crossesabove / below a 15 minute bollinger band. The indicator running the 1 second data is a custom one - just a plot of a double.
Appreciate it if you can advise of the best approach.
Thanks in advance
Comment