"Build on Minute" vs "Bar Magnifier 1 minute"  [SOLVED]

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"Build on Minute" vs "Bar Magnifier 1 minute"

Postby StefanoSF » 02 Nov 2014

I have a simple ES Mini MA Cross Daily bar strategy. The Session is set to default "Dictionary Session"

All things being equal, why is it that when using "Build one Minute", strategy executions are different then "Bar Magnifier 1 Minute"?

I read this and I'm still unclear: http://www.multicharts.com/trading-soft ... Resolution

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Re: "Build on Minute" vs "Bar Magnifier 1 minute"

Postby Andrew MultiCharts » 03 Nov 2014

Hello StefanoSF,

In fact these 2 features are comletely different things. The feature Build from minutes allows you to create custom session-based daily bars, but it doesn't affect script calculation directly. For such bars Intra-bar Price Movement Assumptions are used.
When you use Bar Magnifier, the strategy knows how the price was moving inside each bar, what affects results of backtesting. Please read this article.

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Re: "Build on Minute" vs "Bar Magnifier 1 minute"

Postby StefanoSF » 19 Nov 2014

Hi Andrew,

I've been testing "Build on Minutes" on a few live strategies I run. Would it be correct to state: "for accurate back testing and forward trading, all strategies using Daily Bars should have the "Build on Minutes" checked"?

I bring this up because I noticed that on a number of Daily bar strategies I run, which use "Buy Next Bar Open", were getting filed differently than my back tested results were. By turning on "Build on Minutes" my historical strategies entries now match my real historical trades.

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Re: "Build on Minute" vs "Bar Magnifier 1 minute"

Postby Andrew MultiCharts » 20 Nov 2014

Would it be correct to state: "for accurate back testing and forward trading, all strategies using Daily Bars should have the "Build on Minutes" checked"?
No, it doesn't (directly) affect the strategy calculation.
I bring this up because I noticed that on a number of Daily bar strategies I run, which use "Buy Next Bar Open", were getting filed differently than my back tested results were. By turning on "Build on Minutes" my historical strategies entries now match my real historical trades.
When this feature is used, only the bars (OHLC) themselves may change, thus the results of backtesting may also change.

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Re: "Build on Minute" vs "Bar Magnifier 1 minute"

Postby StefanoSF » 20 Nov 2014

No, it doesn't (directly) affect the strategy calculation.
Sorry, but it's still unclear. Below are two Strategy Reports of the same instrument (@ES#) same strategy, using the Default daily bar session as specified in QM. Quote field is "Trade". The one on the right uses " Build From Minutes".

The strategy buys the open and sells next bar open;

Code: Select all

If MP=0 then buy next bar open;
If MP=1 then sell next bar open;
Obviously the bars OHLC are not built the same thus effecting the strategy calculation.

Isn't the "Build From Minutes" more accurate moving forward?

Image
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Re: "Build on Minute" vs "Bar Magnifier 1 minute"

Postby Andrew MultiCharts » 20 Nov 2014

StefanoSF,
  • The fact the strategy gives you different results when you check on/off the box "build from minute" is expected.
  • The fact the strategy gives you better results when you check on the box "Build from minute" is luck.
  • "Build from minutes" affects only bars on the chart. Different bars = different strategy calculation results.

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Re: "Build on Minute" vs "Bar Magnifier 1 minute"

Postby TJ » 20 Nov 2014

No, it doesn't (directly) affect the strategy calculation.
Sorry, but it's still unclear. Below are two Strategy Reports of the same instrument (@ES#) same strategy, using the Default daily bar session as specified in QM. Quote field is "Trade". The one on the right uses " Build From Minutes".
The strategy buys the open and sells next bar open;
::
Obviously the bars OHLC are not built the same thus effecting the strategy calculation.
Isn't the "Build From Minutes" more accurate moving forward?
Please compare the OHLC of the bars in the charts; they might not be the same.
1. Some dataproviders include extended market hours in their daily prices, while others include pre-markets also.
2. When you build from minutes, make sure the starting times and ending times are the sames as the dataprovider's session times.
3. If you are using continuous contracts, you might need to double check the integrity of price shift on rollovers.

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Re: "Build on Minute" vs "Bar Magnifier 1 minute"

Postby StefanoSF » 20 Nov 2014

1. Some data providers include extended market hours in their daily prices, while some include pre-markets also.
And here may lay the problem. If data providers include outside session data or other market noise in their daily OHLC quotes then isn't it almost necessary to use "Build From Minutes" to force the session to only use data within the specified session?

My point is, should system developers always use "Build From Minutes" to get a more accurate historical OHLC bar?

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Re: "Build on Minute" vs "Bar Magnifier 1 minute"

Postby Andrew MultiCharts » 21 Nov 2014

My point is, should system developers always use "Build From Minutes" to get a more accurate historical OHLC bar?
Of course. Daily-based charts are not affected by session settings. It is possible to use "Build from minutes" in order to form bars based on the applied session template.

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Re: "Build on Minute" vs "Bar Magnifier 1 minute"

Postby StefanoSF » 21 Nov 2014

Hi Andrew.

Thanks for dealing with me. I understand the "Build from Minutes" is needed for custom applied sessions settings to build a custom bar. I get that.

What I don't get is this:

If I have a daily bar of the ES built from the default QM "Use Symbol Dictionary Sessions", if I check Build From Minutes, the Build From Minute bars have substantially differing OHLC then unchecked Build From Minutes daily bars. I would have assume them to be the same as they both use the same OHLC session template/time constraints and data.

1) Why are they so different?

2) Which of the two Bar builds produce the truer Daily OHLC bar?

{--- UPDATE -- Market Holidays Included ---}
When checking Build From Minutes, half day holiday session data are given their own daily bars, while if Build From Market is unchecked, the partial holiday session data is merged with the next bar and displays an OHLC of two merged days/bars. This still does not explain the majority of bar discrepancies above but does contribute.
Last edited by StefanoSF on 21 Nov 2014, edited 1 time in total.

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Re: "Build on Minute" vs "Bar Magnifier 1 minute"

Postby hilbert » 21 Nov 2014

If I have a daily bar of the ES built from the default QM "Use Symbol Dictionary Sessions", if I check Build From Minutes, the Build From Minute bars have substantially differing OHLC then unchecked Build From Minutes daily bars. I would have assume them to be the same as they both use the same OHLC session template/time constraints and data.
Its possible that your Symbol Dictionary Session is set incorrectly. Please go to QM -> Tools -> Symbol Dictionary -> Select your Data Source -> Select Symbol and then click on Edit and post the screenshot.

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Re: "Build on Minute" vs "Bar Magnifier 1 minute"  [SOLVED]

Postby TJ » 21 Nov 2014

Hi Andrew.
Thanks for dealing with me. I understand the "Build from Minutes" is needed for custom applied sessions settings to build a custom bar. I get that.
What I don't get is this:
If I have a daily bar of the ES built from the default QM "Use Symbol Dictionary Sessions", if I check Build From Minutes, the Build From Minute bars have substantially differing OHLC then unchecked Build From Minutes daily bars. I would have assume them to be the same as they both use the same OHLC session template/time constraints and data.
1) Why are they so different?
2) Which of the two Bar builds produce the truer Daily OHLC bar?
The "session" is only used for intraday data, it is not applicable to daily bars.

Daily bars OHLC come straight from the dataprovider.
There is only one set of daily OHLC. You do not get 3pm OHLC or 4pm OHLC. You only get daily OHLC. Whatever the dataprovider sends you is what you get. You cannot modify it. This is the reason why "Build from minutes" is invented -- so that you can modify the "daily" bar OHLC according to your custom session.

You can test this by changing the session time to 0900~1000, then restart MC and reload the daily chart to see how the bars look.


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