Hello,
It seems that the resolution of the data series for extended backtesting (bid/ask) must be identical to the resolution of the "main" data series where the signal is added.
For example, if the data series where the signal is added is using a Point 5 resolution, then the resolution of the bid/ask data series must also be Point 5.
1. Why is this?
2. In this case, how does the backtesting know what happened inside the bid/ask bars?
3. Does the Bar Magnifier also includes the bid/ask series?
Many thanks,
Extended Backtesting
- JoshM
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Re: Extended Backtesting
These are still good questions - did you get/find an answer to these Duration? Perhaps somebody else can give their opinion?...
1. Why is this?
2. In this case, how does the backtesting know what happened inside the bid/ask bars?
3. Does the Bar Magnifier also includes the bid/ask series?
I'm asking because I've noticed that, when adding three data series to a chart (Trade, Bid, Ask), the trade bars do not align with the Bid/Ask bars (which are in alignment with each other). In other words, when there is a trade bar, there is at that time no Bid or Ask bar.
Would MultiCharts with Extended Backtest settings then use the latest Bid/Ask from the previous bar (so the first available bar before the Trade Data1 bar), or match the Data1 bar time to the bid/ask time to determine the latest Bid/Ask during trade entry to get the precise price at which the order (theoretically) got executed?
Regards,
Josh
- Dave Masalov
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Re: Extended Backtesting
Dear Sirs,
You may choose different resolution of the data series for extended backtesting (trade, bid, ask). As for Bar Magnifier, it does includes the bid/ask series. In Extending Backtesting Mode MC uses the latest Bid/Ask from the previous bar (the first available bar before the Trade Data1 bar) for calculation.
You may choose different resolution of the data series for extended backtesting (trade, bid, ask). As for Bar Magnifier, it does includes the bid/ask series. In Extending Backtesting Mode MC uses the latest Bid/Ask from the previous bar (the first available bar before the Trade Data1 bar) for calculation.