Optimizations min vs ticks very different results

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Optimizations min vs ticks very different results

Postby KhaosTrader » 06 Oct 2012


I did many optimizations using just 10 min bars, then I decided to use bar magnifier for 1 min resolution, and the model still performed pretty well... Then I decided to move it to 1 tick and wow, drastically different results...

So now I am pondering what to do regarding this.. Is tick by tick the most realistic ? running optimizations by the tick takes forever, i can increase it by 20 tick resolution and optimize, then when i backtest it look at 1 tick optimization.. is this right?

Also I am trading aapl here, and there are gaps between bids and ask a lot, and i am not sure what is really optimal here, I am asking what is the "proper" approach to optimizing a strategy and how can i see what the realistic results of a model are in the past?

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Andrew MultiCharts
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Re: Optimizations min vs ticks very different results

Postby Andrew MultiCharts » 10 Oct 2012

In case of comparing backtesting scenarios to find out the most realistic one, it totally depends on what real-time scenario in terms of chart and strategy settings you would have.
In any case even most precise backtesting (and as it derivate - the optiomization) cannot be 100% realistic. Pleae read this article and all linked articles as well to get complete understanding of how it works in MC.
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