Historical signals

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O66
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Historical signals

Postby O66 » 23 Jan 2007

Is there a way to view Historical signals that trigger at the TICK level when using IB and MC?

Thanks

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Kate
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Postby Kate » 24 Jan 2007

We don't quite understand your issue. Could you describe such strategy in more detail?

Chris
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Re: Historical signals

Postby Chris » 24 Jan 2007

Is there a way to view Historical signals that trigger at the TICK level when using IB and MC?

Thanks


The only problem you'll run in is that IB doen't offer historical TICK data, you can only collect it in real-time. Once collected you can backtest signals on the stored data like with every other symbol, too.

So the only limitation will be the lack of historical tick data from IB.

Chris

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Postby O66 » 24 Jan 2007

thanks for reply

i have enough data (5 minute bars)
now im backtesting a strategy that triggers in MC only on close of candle instead during forming of that candle (when criteria are met)

can Multicharts save the IB tick data into it's own local database?
IN TS there is an option to select tick when backtesting with minute charts

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Andrew Kirillov
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Postby Andrew Kirillov » 25 Jan 2007

Dear O66,

can Multicharts save the IB tick data into it's own local database?

Yes, sure. MultiCharts saves data in 1-tick, 1-min and 1-day resolutions.

IN TS there is an option to select tick when backtesting with minute charts

For backtesting MultiCharts uses the same data resolution as has been used for plotting the chart. So you don't need the checkbox for ticks as it is in TS. Just run backtesting on the chart with resolution you need.

O66
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Postby O66 » 25 Jan 2007

thanks for the reply.

unfortunately it isnt working as you are describing

I want the strategy to trigger on price touched WITHIN the bar and not on the close of the bar.

All the signals in the past are based on close of candle, which is not correct.
In realtime, signals are created correctly

Chris
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Postby Chris » 25 Jan 2007

Andrew,

in my opinion he is looking for a "look-inside-bar" backtesting ability where the strategy, although running on minute data for example, takes the tick by tick bar development into account.

Taken from the TS help file:

Under Back-testing resolution, select the Look-Inside-Bar Back-testing check box to enable the use of a sub-interval to identify price action occurring within each charted strategy bar.

Note This only allows you to change the intrabar interval for back-testing purposes. This is not the same as enabling intrabar order generation which is done from the Calculation tab of the Format Strategy dialog for a selected strategy.

If checked, the back-testing resolution is automatically selected based on the type of chart being used.

For weekly and monthly charts, Day is selected

For daily and intraday charts:

If you select Tick you'll be able to identify price action occurring within each charted strategy bar at the tick level.

If you select Intraday you change the number of minutes for each sub-interval used for back-testing.


Chris

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Postby O66 » 25 Jan 2007

Andrew,

in my opinion he is looking for a "look-inside-bar" backtesting ability where the strategy, although running on minute data for example, takes the tick by tick bar development into account.

Taken from the TS help file:



yes exactly that is what i want!

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Andrew Kirillov
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Postby Andrew Kirillov » 25 Jan 2007

Dear Sirs,

For backtesting MultiCharts uses the same data resolution as has been used for plotting the chart.


So for all the time resolutions it will execute only on bar close. In case you need true intra-bar execution you need to use 1-tick resolution charts.

Surely we will add the look-inside-bar functionality later.


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