2 datas series and extended backtesting  [SOLVED]

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philippe33
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2 datas series and extended backtesting

Postby philippe33 » 22 May 2013

Hi,
I installed the 8.7 beta1, and i am experienced a problem with the Extended Backtesting.
I have a chart whith two datas series (ticks for ask series data and ticks for bid series data).

Multicharts returns an error "Extended backtesting mode is not supported when using more than one data series..."... I dont't undersdand because we need at last two datas series for extended backtesting.

Everything worked perfectly with version 8.5.
Is it a bug or should we make special adjustment?

Thanks.

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Henry MultiСharts
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Re: 2 datas series and extended backtesting issue  [SOLVED]

Postby Henry MultiСharts » 23 May 2013

Hello philippe33,

Since MultiCharts 8.7 Beta 1 Extended Backtesting is automatically turned off when more than one data series is being referenced in the code. Backtesting mode is automatically switched to classic backtesting with an appropriate warning message.

Please do not reference additional data series from your code in order to use Extended Backtesting.

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Re: 2 datas series and extended backtesting issue

Postby whammer » 01 Jun 2013

I just saw this because I was trying to use extended backtesting and have followup questions. If extended backtesting is made more precise by using bid data and ask data, 1) how can it not support two data series? 2) can extended backtesting ever be used? 3) what is the purpose of it if it can specifically NOT be used for the purpose for which it is intended?

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Henry MultiСharts
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Re: 2 datas series and extended backtesting issue

Postby Henry MultiСharts » 03 Jun 2013

I just saw this because I was trying to use extended backtesting and have followup questions. If extended backtesting is made more precise by using bid data and ask data, 1) how can it not support two data series? 2) can extended backtesting ever be used? 3) what is the purpose of it if it can specifically NOT be used for the purpose for which it is intended?
Hello whammer,

Probably you are mixing up using extended backtesting and referencing multiple data series from the code. Extended Backtesting does not allow referencing more than one data series in the code.
Still Extended backtesting works as it was originally designed to work. I would recommend you to have a look at Understanding Precise Backtesting article that says:
MultiCharts will use these two data series to determine realistic fill prices. The bar's close will have a bid and an ask price associated with it. MultiCharts will use the ask price to fill a market buy order and the bid price to fill a market sell order.

That is not required to have Extended Backtesting turned on in order to reference multiple data series in the code.

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Re: 2 datas series and extended backtesting issue

Postby whammer » 03 Jun 2013

Light bulb went on! Thanks Henry.

philippe33
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Re: 2 datas series and extended backtesting issue

Postby philippe33 » 30 Sep 2013

Hi Henry,
I don't understand your explanations.

When a strategy works whith 2 data series in ticks (bid and ask), and when this strategy need this two values for calculations(mid tick, variance of an array of bid/ask values, distribution calculation, and so on)... Now you can't backtesting in extended mode; like it was possible whith the 8.5 release !

It's a big regression for me, and clearly a big issue whitch forbids me to upgrade my lifetime licence.

It's a little bit "bizarre"... A strategy can't base his calculations on bid / ask ticks datas series for calculactions, but the backtesting himself can do. And if you want your stategy works whith bid / ask ticks datas series for calculactions, you can't backtesting it in extended mode, and so, whe loose all the precision.

It is an issue which must be added at least in correction to be taken into account for the next versions.

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Re: 2 datas series and extended backtesting issue

Postby RubenMassey » 01 Oct 2013

Light bulb went on! Thanks Henry.
Awesome information.. Even my problem was solved and light bulb went on.. Very useful thread indeed..

whammer
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Re: 2 datas series and extended backtesting issue

Postby whammer » 06 Oct 2013

What I believe Henry is saying is that you cannot use more than one data series - in the code - however you can still add other data series to the chart which can then be referenced in your strategy>properties>backtesting when you use extended backtesting. I completely agree that precision backtesting absolutely needs to be valid across any number of data series (with any resolutions) that are referenced --in the code.

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Henry MultiСharts
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Re: 2 datas series and extended backtesting issue

Postby Henry MultiСharts » 18 Oct 2013

philippe33, whammer,

Implementation of the precise backtesting + referencing multiple data series from the code is not a trivial task and it requires significant changes in current implementation of MultiCharts components.
We will consider adding this functionality in the future. However there is no ETA yet. We will keep you updated.

philippe33
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Re: 2 datas series and extended backtesting issue

Postby philippe33 » 21 Oct 2013

Henry,

What I do not understand is that the 8.5 version can do this.

It is better to have an imperfect but possible precise backtest (whitch is perfectly usable in v8.5) that no longer able to process whith two data series in ticks, bid and ask, in the code.

This is a major malfunction for all those working in ticks data, and who need to analyze and take into account the spread or place précise orders "in" the spread.

I repeat. What I do not understand is that all these things were possible until then 8.5 version , and they are gone now.

It is so necessary to process two data streams of the code, that I do not understand it does not make a big scandal whith the users.

We must renounce the function that is able to works with two data feeds, or renounce then fonction that is able to perform precise bactest.

These are two major functions that make all interest and strength of Multicharts.

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Henry MultiСharts
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Re: 2 datas series and extended backtesting issue

Postby Henry MultiСharts » 22 Oct 2013

philippe33,

In the next version of MultiCharts we will improve this behavior. That will be possible to reference multiple data series from the code when extended backtesting mode is used.
Unfortunately extended backtesting mode + referencing multiple data series from the code cannot be done when the bar magnifier is used due to the asynchronous calculation upon multiple data series. This is something we are looking into improving in the future.

philippe33
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Re: 2 datas series and extended backtesting issue

Postby philippe33 » 22 Oct 2013

Henri,

This is great news. Really !

There was an impermissible limitation no longer able to process two data feeds, ask and bid, in ticks in the code and, in the same time, backtest strategies.
So thank you very much for taking into account my claims.

Personally, I work with ticks datas feeds and I do not use the barmagnifier. This and less important and urgent for me.

I am looking forward to enjoying the new version that fixes the bug.

Thank you again for your efforts and your work, and I renew my satisfaction Multicharts continually evolve toward greater perfection. ;)
Philippe

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Re: 2 datas series and extended backtesting issue

Postby whammer » 22 Oct 2013

This is indeed good news Henry. Thank you!

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Re: 2 datas series and extended backtesting issue

Postby Jim Hunt » 24 Oct 2013

Henry,

I've finally upgraded to 8.7 myself, found myself presented with this problem, and thus arrived at this thread. As Phillipe put it, "it's a big regression for me" also. When you say "the next version of MultiCharts" is that 8.8 or 9.0, and when do you expect the promised fix to be delivered?

Assuming the only reason for having more than one data series is to gain access to both bid and ask prices in the code (in which case it seems highly likely you'd also want them both available in a backtest!) what's the workaround? Rewrite your strategy to use ticks/bars that provide sufficient resolution for hopefully "precise backtesting" in your own particular circumstances and thus eliminate the need to use the bar magnifier?

A quick test suggests even that won't work. With the bar magnifier turned off I still get the error message "Extended backtesting mode is not supported when using more than one data series."

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Henry MultiСharts
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Re: 2 datas series and extended backtesting issue

Postby Henry MultiСharts » 25 Oct 2013

When you say "the next version of MultiCharts" is that 8.8 or 9.0, and when do you expect the promised fix to be delivered?
Jim, it will be MultiCharts 8.8 Release. This version is expected in November this year. There is no ETA for this version yet, but we are doing our best to deliver it to our users as soon as possible.
A quick test suggests even that won't work. With the bar magnifier turned off I still get the error message "Extended backtesting mode is not supported when using more than one data series."
That is exactly what will be changed in 8.8 Release. That will be possible to reference multiple data series from the code when extended backtesting mode is used (but with the bar magnifier turned off).

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Re: 2 datas series and extended backtesting issue

Postby Jim Hunt » 30 Oct 2013

Jim, it will be MultiCharts 8.8 Release. This version is expected in November this year. There is no ETA for this version yet, but we are doing our best to deliver it to our users as soon as possible.
I just tried 8.8 beta 2, which still has the same behavior. 8.8 sounds a lot better than 9.0 though!
That is exactly what will be changed in 8.8 Release. That will be possible to reference multiple data series from the code when extended backtesting mode is used (but with the bar magnifier turned off).
So even when that change makes it into 8.8 Release it will still be necessary to rewrite trading strategies that currently rely on the bar magnifier to achieve "precise backtesting"? Not an ideal situation from my perspective! Any chance that functionality will be restored in 9.0?

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Henry MultiСharts
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Re: 2 datas series and extended backtesting issue

Postby Henry MultiСharts » 31 Oct 2013

So even when that change makes it into 8.8 Release it will still be necessary to rewrite trading strategies that currently rely on the bar magnifier to achieve "precise backtesting"? Not an ideal situation from my perspective! Any chance that functionality will be restored in 9.0?
As I have already said before - this is something we are looking into improving in the future. Unfortunately there is no ETA for this improvement yet. Once it is targeted to any particular version - this thread will be updated.

philippe33
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Re: 2 datas series and extended backtesting

Postby philippe33 » 13 Nov 2013

Hello the Team,

I just installed version 8.8.

Thank you for taking into account our comments.

The extended backtest works great now with two data feeds in the code.

Real improvement for those who work with two ticks data feeds, bid and ask, for précision autotrading.

Philippe


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