Item number 6 on https://www.multicharts.com/trading-sof ... acktesting
States...
"Apply the strategy to the Ask data series, which is the first chart. It does not matter if the strategy is applied to the Ask data series or the Bid data series. It only matters that the strategy is applied to the first chart."
My experience in a chart, chart traded at a demo account and one traded on a live account, is different. If the first data on the chart is changed from ask to bid and the second data on the chart is changed from bid to ask, there is a difference.
I changed the selections in the extended backtesting.
Both historic and live trades are different when compared to a chart that has the ask data first and the bid data 2nd.
This is on CQG and I have installed the software uploaded Jan 24th
Precise Backtesting [SOLVED]
-
- Posts: 199
- Joined: 25 Jan 2008
- Has thanked: 2 times
- Been thanked: 7 times
-
- Posts: 199
- Joined: 25 Jan 2008
- Has thanked: 2 times
- Been thanked: 7 times
Re: Precise Backtesting
some further info....
if you use bids, asks or lasts for both data1 and data2, switching the extended backtesting in such a way that #1 is on top and #2 on bottom and then switch, so that #2 is on top and #1 is on bottom, you get different strategy results.
if you use bids, asks or lasts for both data1 and data2, switching the extended backtesting in such a way that #1 is on top and #2 on bottom and then switch, so that #2 is on top and #1 is on bottom, you get different strategy results.
- Henry MultiСharts
- Posts: 9165
- Joined: 25 Aug 2011
- Has thanked: 1264 times
- Been thanked: 2957 times
Re: Precise Backtesting
Hello Don,
The strategy calculation results are different when it is applied to different data streams (which are asks and bids in your case).
If you want to base your strategy calculation on the Trade data series and get precise backtesting order fill price please create a chart with three data series:
Data1=Trade data;
Data2=Ask data;
Data3=Bid data.
On Extended Backtesting tab select Ask data=data2 of your chart;
Bid data=data3 of your chart/
Now extended backtesting is configured properly.
The strategy calculation results are different when it is applied to different data streams (which are asks and bids in your case).
If you want to base your strategy calculation on the Trade data series and get precise backtesting order fill price please create a chart with three data series:
Data1=Trade data;
Data2=Ask data;
Data3=Bid data.
On Extended Backtesting tab select Ask data=data2 of your chart;
Bid data=data3 of your chart/
Now extended backtesting is configured properly.
-
- Posts: 199
- Joined: 25 Jan 2008
- Has thanked: 2 times
- Been thanked: 7 times
Re: Precise Backtesting
Henry,
Sorry if I was not clear. I am trying any combination, to make work. In the past, if I was trading short only, I would have bid as #1 and ask as #2. Doing this created the issue, that caused me to try to use trade. So I think there is still an issue.
Thank you,
Don
Sorry if I was not clear. I am trying any combination, to make work. In the past, if I was trading short only, I would have bid as #1 and ask as #2. Doing this created the issue, that caused me to try to use trade. So I think there is still an issue.
Thank you,
Don
- Henry MultiСharts
- Posts: 9165
- Joined: 25 Aug 2011
- Has thanked: 1264 times
- Been thanked: 2957 times
Re: Precise Backtesting
Don, if you are trading long and short then the setup I have suggested above is recommended. Have you tried it? Please specify the issue you have with it.Henry,
Sorry if I was not clear. I am trying any combination, to make work. In the past, if I was trading short only, I would have bid as #1 and ask as #2. Doing this created the issue, that caused me to try to use trade. So I think there is still an issue.
Thank you,
Don
-
- Posts: 199
- Joined: 25 Jan 2008
- Has thanked: 2 times
- Been thanked: 7 times
Re: Precise Backtesting
Henry,
My charts are either long or short, but not both.
Should I try it if I am short only with profit target?
Should I try it if I am long only with profit target?
My charts are either long or short, but not both.
Should I try it if I am short only with profit target?
Should I try it if I am long only with profit target?
-
- Posts: 199
- Joined: 25 Jan 2008
- Has thanked: 2 times
- Been thanked: 7 times
Re: Precise Backtesting
Setup as you suggested,
A chart not trading and one that is trading produce different signals.
A chart not trading and one that is trading produce different signals.
- Henry MultiСharts
- Posts: 9165
- Joined: 25 Aug 2011
- Has thanked: 1264 times
- Been thanked: 2957 times
Re: Precise Backtesting
Don,
Do the charts have exactly the same setup (resolution, data range, sessions)?
Is the first bar on both charts the same?
Are the signals configured the same way?
Are the strategies configured the same way?
Sometimes it may happen that backtesting is not the same as Live trading.
Please follow this link to learn more details: https://www.multicharts.com/trading-sof ... ve_Trading
If you expect the orders to be generated but they are not - please check your code to ensure that the order generation conditions are valid: https://www.multicharts.com/trading-sof ... t_Executed
Do the charts have exactly the same setup (resolution, data range, sessions)?
Is the first bar on both charts the same?
Are the signals configured the same way?
Are the strategies configured the same way?
Sometimes it may happen that backtesting is not the same as Live trading.
Please follow this link to learn more details: https://www.multicharts.com/trading-sof ... ve_Trading
If you expect the orders to be generated but they are not - please check your code to ensure that the order generation conditions are valid: https://www.multicharts.com/trading-sof ... t_Executed
-
- Posts: 199
- Joined: 25 Jan 2008
- Has thanked: 2 times
- Been thanked: 7 times
Re: Precise Backtesting
Henry,
I have 2 charts open, one a "copy window" of the other. To insure data is the same, I reload all data.
A chart that is trading to a demo server, produces a different pattern of signals, to one that is just running and collecting data. While it is in the sync mode, because it is a demo server, I would think the typical market issues are not present. I can try to change it to "A Sync" and see if that changes things.
Thank you,
Don
I have 2 charts open, one a "copy window" of the other. To insure data is the same, I reload all data.
A chart that is trading to a demo server, produces a different pattern of signals, to one that is just running and collecting data. While it is in the sync mode, because it is a demo server, I would think the typical market issues are not present. I can try to change it to "A Sync" and see if that changes things.
Thank you,
Don
-
- Posts: 199
- Joined: 25 Jan 2008
- Has thanked: 2 times
- Been thanked: 7 times
Re: Precise Backtesting
Henry,
More info....
If you run one chart and allow it to evolve with market data coming and at some period of time in the future you copy and paste that same chart, the signals do not match. I noted the barnumber for the data on the chart developed in the market, and used those same values to build the 2nd chart, so they are a match....in so far as the chart setups go. But signals do not match.
Thanks,
Don
More info....
If you run one chart and allow it to evolve with market data coming and at some period of time in the future you copy and paste that same chart, the signals do not match. I noted the barnumber for the data on the chart developed in the market, and used those same values to build the 2nd chart, so they are a match....in so far as the chart setups go. But signals do not match.
Thanks,
Don
- Henry MultiСharts
- Posts: 9165
- Joined: 25 Aug 2011
- Has thanked: 1264 times
- Been thanked: 2957 times
-
- Posts: 199
- Joined: 25 Jan 2008
- Has thanked: 2 times
- Been thanked: 7 times
Re: Precise Backtesting
Henry,
I am aware of this. I trade very quickly with many trades per day. There is a large variation.
Thank you,
Don
I am aware of this. I trade very quickly with many trades per day. There is a large variation.
Thank you,
Don
- Henry MultiСharts
- Posts: 9165
- Joined: 25 Aug 2011
- Has thanked: 1264 times
- Been thanked: 2957 times
Re: Precise Backtesting
Don, please send me (support@multicharts.com) the following information for further investigation:
- workspace you are using;
- in QuoteManager select the symbol you are using, make a right click on it->Export data->Export instrument (with data). Send me the Qmd export file for analysis;
- in PowerLanguage editor->File->Export->export the studies you are using in the workspaces you are providing. Send me the study export file;
- attach a detailed problem description and highlight the problem on the screenshots;
- attach your output log that shows that the order execution is incorrect.
If the file size is >10 mb please upload it to any file sharing hosting and send me the download link.
- workspace you are using;
- in QuoteManager select the symbol you are using, make a right click on it->Export data->Export instrument (with data). Send me the Qmd export file for analysis;
- in PowerLanguage editor->File->Export->export the studies you are using in the workspaces you are providing. Send me the study export file;
- attach a detailed problem description and highlight the problem on the screenshots;
- attach your output log that shows that the order execution is incorrect.
If the file size is >10 mb please upload it to any file sharing hosting and send me the download link.