Same formula, settings and data: Different results MC and TS

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tradinghumble
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Joined: 11 Jun 2006

Same formula, settings and data: Different results MC and TS

Postby tradinghumble » 19 Jan 2010

Hi everyone, I'm puzzled here by how different the backtest/peformance results are from TS and Multicharts.

I am using TS data in Multicharts, the very same formula, the same settings AND obviously the same amount of data.

The results are very different as you can see from the screenshots... Hoping someone can give me some insight on this. Not sure which one to believe at this point.

:(
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Andrew Kirillov
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Postby Andrew Kirillov » 19 Jan 2010

Dear Sir,
The settings are not the same. The screenshots demonstrate that start date is 8/4 vs 9/23.
We need the strategy and the workspace to see what could be different. If it is confidential you will have to isolate the issue on your own. Please try to remove commissions/slippage in TS and MC.
The results typically are the same.
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tekram
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Re: Same formula, settings and data: Different results MC an

Postby tekram » 19 Jan 2010

..puzzled here by how different the backtest/peformance results are from TS and Multicharts...
:(
This is not surprising. TS backtests results are inconsistent across TS versions as well. A lot of price movement can happen in 5 minute bars. Turning on IOG and LIBB may show a more accurate picture.
8.06.2696 is broken. 2612 is better. Or back to 8.4.

hxxps://www.TS.com/Discussions/Topic. ... c_ID=95018
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tradinghumble
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Postby tradinghumble » 19 Jan 2010

Andrew/Tekram, thanks for the responses.

Andrew -- You are correct on the dates, but I'm mostly comparing the daily results as per the screenshots (very different as you can see)... I'm not even comparing the total results.

Tekram -- my system does not use same bar stops or exits and I make sure the fill is inside the bar limits. The data used by MC was from TS hence I should have similar fills.
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