Some people asked me how IOG is applied to backtesting.
Can someone explain experience of his own?
Also would like to see a good sample showing typical use of IOG.
Is IntrabarOrderGeneration applied to backtesting too?
- Marina Pashkova
- Posts: 2758
- Joined: 27 Jul 2007
Hi HaeRim,
You will see the difference if you run the following experiment:
First apply the following signal:
---------------------------
[intrabarordergeneration=true]
print(currentbar, " o: ",o, " h: ", h, " l: ", l, " c: ", c );
----------------------------
then apply another signal and compare the output results:
-----------------------------
[intrabarordergeneration=false]
print(currentbar, " o: ",o, " h: ", h, " l: ", l, " c: ", c );
-----------------------------
Regards.
You will see the difference if you run the following experiment:
First apply the following signal:
---------------------------
[intrabarordergeneration=true]
print(currentbar, " o: ",o, " h: ", h, " l: ", l, " c: ", c );
----------------------------
then apply another signal and compare the output results:
-----------------------------
[intrabarordergeneration=false]
print(currentbar, " o: ",o, " h: ", h, " l: ", l, " c: ", c );
-----------------------------
Regards.
- Marina Pashkova
- Posts: 2758
- Joined: 27 Jul 2007
Hi HaeRim,
Here's a bried description of how the usual mode is different compared to the IOG mode.
1. Non-IOG mode:
a) the calculations are made on the close of a bar
b) limit/stop and market orders are sent at open of the next bar (only once at the start of the next bar)
2. IOG mode:
a) the calculations are made on every tick in real-time and on o, h, l, c in backtesting (once we implement look-inside-bar, the calculations will be made on every tick in backtesting as well)
b)orders are sent on every new tick (or on every new value available)
These are the differences between the modes. The rest depends on what exactly you want to do. You choose the algorithm that you think would best suit your data and your trading strategy.
Regards.
Here's a bried description of how the usual mode is different compared to the IOG mode.
1. Non-IOG mode:
a) the calculations are made on the close of a bar
b) limit/stop and market orders are sent at open of the next bar (only once at the start of the next bar)
2. IOG mode:
a) the calculations are made on every tick in real-time and on o, h, l, c in backtesting (once we implement look-inside-bar, the calculations will be made on every tick in backtesting as well)
b)orders are sent on every new tick (or on every new value available)
These are the differences between the modes. The rest depends on what exactly you want to do. You choose the algorithm that you think would best suit your data and your trading strategy.
Regards.
- Marina Pashkova
- Posts: 2758
- Joined: 27 Jul 2007
Hi Moulinex,Dear Marina,
When will be implemented the look-inside-bar? I think is a great feature for daytraders!
We understand the importance of the look-inside-bar feature for the accuracy of backtesting and are planning to implement it in MultiCharts. Hopefully, we'll be able to add this feature by the end of this year.
Best regards.