intrabar order generation

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milda8005
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intrabar order generation

Postby milda8005 » 02 Oct 2018

Hi all

I have stratégy which in historical backtest looks quite good, but only if i use intrabarordegeneration=true; if i switch it of it is complete rubish.
if i switch of the iob function and use libb the trades are the same as in real time trading.
so i am still wondering why - i have read all the stuff on all (not all but a lot) forums regarding this topic.
my question is
is there some kind of formula how it is realy counting when the iob is on, how multicharts operate with that ( iknow four times each bar and diff between OHLC within the bar but how exactly?
does anyone test or program it in easy language, i need to find the condition when the entry signal is on, same as in backtesting.
or it does not make sense?
regards
Milan

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c0ntango
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Re: intrabar order generation

Postby c0ntango » 02 Oct 2018

Hey Milan,

When you turn the strategy on and it looks good, did you check if opens and closes both happen within the same bar?

This is a common issue - you can get good looking but inaccurate back tests that way.

You could partially avoid this issue by configuring the "backtest" panel of the strategy to say only one order per bar is allowed (with IOG on it can still use minute data within the hourly bar that way, for example).

Is this helpful?

-Ben

milda8005
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Re: intrabar order generation

Postby milda8005 » 02 Oct 2018

Hi
what do you mean and where to find "backtest"
thanks
I attached the entry difference left side without iog = real time trading right side with iog, backtest
Attachments
iog.JPG
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milda8005
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Re: intrabar order generation

Postby milda8005 » 02 Oct 2018

or mayby better say
is there a posibility to write the stratégy and setup somehow the multichart to calculate order generation same as in backtesting?
real time calculate every tick
backtesting calculate 4 times OHLC one bar

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TJ
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Re: intrabar order generation

Postby TJ » 02 Oct 2018

See post #4
[FAQ] IntrabarOrderGeneration (IOG) in Backtesting
viewtopic.php?t=10811


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