Inconsistent back testing for strategy

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Gary_MC
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Inconsistent back testing for strategy

Postby Gary_MC » 01 Jan 2022

Hi,
By way of background I'm in the process of switching from TS to MultiCharts and I have a Gold Futures strategy that was developed on TS that I've copied into MultiCharts but when I now back test on MultiCharts (with all the same settings) and using TS Futures data feed there is a large discrepancy in the amount of trades which obviously leads to large discrepancy in results.

The strategy trades daily timeframe and has a low amount of trades ~10 p/yr with 75% profitable across 15 years going by TS back testing but has roughly half the amount of trades and only ~40% profitable on MultiCharts back testing. So far I've had minor discrepancies in the strategies that I've been transferring into MultiCharts but nothing this large. I'm baffled how there can be such a large difference in a low frequency trading system, has any one else experienced this? Given it is Futures data as opposed to CFD;s then the information should be the same and the signal is just based on RSI level and specific weekday, so nothing out of the ordinary.

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TJ
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Re: Inconsistent back testing for strategy

Postby TJ » 01 Jan 2022

Things you can check:

Time frame -- are you using 24 hr day? or RTH day?
Local time? or Exchange time?

IOG ?

Gary_MC
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Re: Inconsistent back testing for strategy

Postby Gary_MC » 03 Jan 2022

Hi TJ,

Both TS and MC are set to "exchange time". Also for the trade session I've got MC left as the default, I've been looking through the MC Wiki to see what the default session is but can't find any details on this. Would you know what is does "Default" cover for trade session? My guess was that the default MC session would be same as the "Regular Session" in TS (MON - FRI with 1 hour gap / 23hrs a day).

Sorry, I don't know what IOG is?

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TJ
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Re: Inconsistent back testing for strategy

Postby TJ » 05 Jan 2022

IOG = Intrabar Order Generation

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TJ
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Re: Inconsistent back testing for strategy

Postby TJ » 05 Jan 2022

See post #4
Session
viewtopic.php?t=6845

Jupp25
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Re: Inconsistent back testing for strategy

Postby Jupp25 » 20 Jan 2022

Hi Gary,

sounds like you havent defined a specific session for the ticker, so the "Default" session is either correspondent to the "Symbol Dictionary" or, if your ticker isnt in there, the default times are set to "Exchange & ECN" settings. And if your talking about gold on comex, wich is not in the Symbol Dictionary, MC has that set from 18:00 to 17:15
I was/am always courious on what logic those defaults are set on, I think most of them are not correct, or at least not as needed for futures.

Chris


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