Is IntrabarOrderGeneration applied to backtesting too?

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2haerim
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Is IntrabarOrderGeneration applied to backtesting too?

Postby 2haerim » 02 Sep 2008

Some people asked me how IOG is applied to backtesting.

Can someone explain experience of his own?

Also would like to see a good sample showing typical use of IOG.

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Marina Pashkova
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Postby Marina Pashkova » 04 Sep 2008

Hi HaeRim,

You will see the difference if you run the following experiment:

First apply the following signal:

---------------------------
[intrabarordergeneration=true]
print(currentbar, " o: ",o, " h: ", h, " l: ", l, " c: ", c );
----------------------------

then apply another signal and compare the output results:

-----------------------------
[intrabarordergeneration=false]
print(currentbar, " o: ",o, " h: ", h, " l: ", l, " c: ", c );
-----------------------------

Regards.

2haerim
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Postby 2haerim » 04 Sep 2008

Thank you Marina

I know those print values would be different for each case.

However, what I want is to have a good example utilizing IOG feature.

Many people does not really understand the pros and cons of IOG.

Best thing is to show a good solid sample showing better case and worse case together.

SUPER
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Postby SUPER » 04 Sep 2008

+1 Support to 2harim suggestion

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Marina Pashkova
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Postby Marina Pashkova » 26 Sep 2008

Hi HaeRim,

Here's a bried description of how the usual mode is different compared to the IOG mode.

1. Non-IOG mode:

a) the calculations are made on the close of a bar
b) limit/stop and market orders are sent at open of the next bar (only once at the start of the next bar)

2. IOG mode:
a) the calculations are made on every tick in real-time and on o, h, l, c in backtesting (once we implement look-inside-bar, the calculations will be made on every tick in backtesting as well)
b)orders are sent on every new tick (or on every new value available)

These are the differences between the modes. The rest depends on what exactly you want to do. You choose the algorithm that you think would best suit your data and your trading strategy.

Regards.

SUPER
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Postby SUPER » 26 Sep 2008

Best thing is to show a good solid sample showing better case and worse case together.- HaeRim


Marina, I guess this is what most of us are looking for to have better understanding of IOG

Moulinex
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Postby Moulinex » 27 Sep 2008

Dear Marina,
When will be implemented the look-inside-bar? I think is a great feature for daytraders!

reitberg
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Postby reitberg » 27 Sep 2008

Intrabar order generation is the easiest way for programmers to rip you off by showing you nice looking profit curves that never would have happened.

That's the difference.

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Marina Pashkova
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Postby Marina Pashkova » 08 Oct 2008

Dear Marina,
When will be implemented the look-inside-bar? I think is a great feature for daytraders!


Hi Moulinex,

We understand the importance of the look-inside-bar feature for the accuracy of backtesting and are planning to implement it in MultiCharts. Hopefully, we'll be able to add this feature by the end of this year.

Best regards.


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