question on GV

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martingale
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question on GV

Postby martingale » 13 May 2013

I just start to use GV as I found it useful in sync trades cross different instrument.
Here comes my question.

if I have 2 tradeable instruments in my portfolio backtester, I want the portfolio to make trades on market order, i.e. long at ask and short at bid.
I try to achieve this by creating a ticker for bid and another ticker for ask price. so when I long the ticker, I use GV to tell the signal that has ask price as tradeable instrument and enter by "buy at market". when I exit, I tell the signal that controls bid price as tradeable instrument and "sell at market", but for portfolio backtester, it doesn't recognize the 2 trades as cancelling trades of each other ( and yes, of course, because nobody tell it they are ).
so my question is how can I achieve this by somehow tell MC that the 2 trades are on the same ticker, although one is on bid , another one is on offer price.

Thanks

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Dave Masalov
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Re: question on GV

Postby Dave Masalov » 14 May 2013

Hello martingale,

During the protfolio calculation you can pass the "tradable" state of a symbol using the time of the bar, where the signal is generated (pass the long/short state along with the time of order generation). Then, you can read this information on the next symbol.

martingale
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Re: question on GV

Postby martingale » 14 May 2013

Hello martingale,

During the protfolio calculation you can pass the "tradable" state of a symbol using the time of the bar, where the signal is generated (pass the long/short state along with the time of order generation). Then, you can read this information on the next symbol.
Hi Dave
could you elaborate more on the tradable 'state', do you mean there's a variable I can modify to indicate the position of the ticker is actually closed so that portfolio knows it's closed?

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Dave Masalov
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Re: question on GV

Postby Dave Masalov » 14 May 2013

martingale,

I misunderstood your question. I thought you want to enter in a position on both symbols if the condition is met on any of them. Sorry for the confusion.

Buying at ask and selling at bid using to instruments in Portfolio Backtester as you describe it is not possible. The workaround is to use one instrument with three data series: trade, ask and bid and Extended Backtesting Mode in MultiCharts. This way your strategy performance report will reflect long trades at ask price and short trades at bid price. Please see details here: https://www.multicharts.com/trading-sof ... acktesting

martingale
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Re: question on GV

Postby martingale » 15 May 2013

martingale,

I misunderstood your question. I thought you want to enter in a position on both symbols if the condition is met on any of them. Sorry for the confusion.

Buying at ask and selling at bid using to instruments in Portfolio Backtester as you describe it is not possible. The workaround is to use one instrument with three data series: trade, ask and bid and Extended Backtesting Mode in MultiCharts. This way your strategy performance report will reflect long trades at ask price and short trades at bid price. Please see details here: https://www.multicharts.com/trading-sof ... acktesting
Thanks Dave. I'm trying to implement it now.
But I have a problem with signal file.
In the first part of signal, I should declare the data which I'm going to pass to it.
it's going to be either , close of data1 , or bid of data1, or ask of data1.
But like the extended mode method mentioned, it seems that the signal file can determine which data to use, and it seems that both ask and bid data are passed to the signal. But there should be only 1 tradable instrument, can to realize this?

thank you

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Dave Masalov
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Re: question on GV

Postby Dave Masalov » 16 May 2013

martingale,

Extended Backtesting gives your strategy access to ask and bid prices during the calculation. Generally, the signal is applied to the main trade data series (close price) when using Extended Backtesting.

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Re: question on GV

Postby martingale » 22 May 2013

martingale,

Extended Backtesting gives your stratagy aceess to ask and bid prices during the calculation. Generally, the signal is applied to the main trade data series (close price) when using Extended Backtesting.
Thanks Dave.

I was trying to set up the extended mode but still encounter some difficulties.
I have a snapshot of my code and backtester set up.
I set the extended mode in MC workspace as in the url.
when I try to run backtest, it tells me "study is missing data2, please set up your chart data"

but which study does it refer to? I guess it's talking about strategy 2, but my signal in strategy only takes one data, which supposed to have bid+ask of IF2 as set up in my MC.
isn't it working in this way?
thank you
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Dave Masalov
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Re: question on GV

Postby Dave Masalov » 23 May 2013

Hello martingale,

There is no Extended Backtesting feature in Portfolio Backtester. You should apply your signal to a chart in MultiCharts. Add three data series to your chart: Trade, Ask and Bid. Then, you need to configure Extended Backtesting as described here: https://www.multicharts.com/trading-sof ... acktesting

If you experience any difficulties, please come to our Live Chat Mon-Fri from 6:30 AM to 4 PM EST so we can help you: http://messenger.providesupport.com/mes ... pport.html

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Re: question on GV

Postby martingale » 23 May 2013

Hello martingale,

There is no Extended Backtesting feature in Portfolio Backtester. You should apply your signal to a chart in MultiCharts. Add three data series to your chart: Trade, Ask and Bid. Then, you need to configure Extended Backtesting as described here: https://www.multicharts.com/trading-sof ... acktesting

If you experience any difficulties, please come to our Live Chat Mon-Fri from 6:30 AM to 4 PM EST so we can help you: http://messenger.providesupport.com/mes ... pport.html
Hi Dave

if I cant apply extended backtesting to portfolio backtester, do you mean I can only use this feature in chart? and then I can't use backtester to optimize it?

for the live support chat, is it every day or just week days. do you live support team work on memorial day holiday?
thanks

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Henry MultiСharts
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Re: question on GV

Postby Henry MultiСharts » 24 May 2013

Hi Dave
if I cant apply extended backtesting to portfolio backtester, do you mean I can only use this feature in chart? and then I can't use backtester to optimize it?
Hello martingale,

Yes, you can use extended backtesting only on a chart in MultiCharts. You can run optimization in Portfolio Backtester, but for a study backtested in classical backtesting mode.
for the live support chat, is it every day or just week days. do you live support team work on memorial day holiday?
thanks
Live chat operation hours are Monday-Friday 6:30 am - 4 pm EST.
Our Technical Support will be closed on Monday, 27 May 2013 due to Memorial Day in the U.S.

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Re: question on GV

Postby mips4pips » 14 May 2016

Henry,
I am under the impression that you can optimize your strategy using extended backtesting, as long as you run the optimizer from your properly set Extended Backtesting signal on the chart (trade, ask and bid instruments) by using " Format Signals ---> Optimize".

I obtain the same results from the Optimizer as those reported by the Strategy Perfomance Report using matching input values.

Could you please confirm this behavior, or set me right if I am mistaken? If this is correct, then I can live with the fact that the Portfolio Trader does not support extended backtesting currently, because I can optimize my signal from the chart.

Thanks!!
Mips4Pips

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Henry MultiСharts
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Re: question on GV

Postby Henry MultiСharts » 16 May 2016

Henry,
I am under the impression that you can optimize your strategy using extended backtesting, as long as you run the optimizer from your properly set Extended Backtesting signal on the chart (trade, ask and bid instruments) by using " Format Signals ---> Optimize".

I obtain the same results from the Optimizer as those reported by the Strategy Perfomance Report using matching input values.

Could you please confirm this behavior, or set me right if I am mistaken? If this is correct, then I can live with the fact that the Portfolio Trader does not support extended backtesting currently, because I can optimize my signal from the chart.

Thanks!!
Mips4Pips
Hello Mips4Pips,

You can optimize your strategy using Extended Backtesting in MultiCharts.


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