Tick by tick test or bar magnifier question

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MAtricks
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Tick by tick test or bar magnifier question

Postby MAtricks » 11 Dec 2013

Are we unable to test with a tick by tick resolution while on a chart with daily bars?

Note that the Tick setting is disabled here:

Image


If I want a reliable test, I want to see every tick. 1 second isn't good enough.


Edit:
-Using 8.8 release v8363
-I have the tick data
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Henry MultiСharts
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Re: Tick by tick test or bar magnifier question

Postby Henry MultiСharts » 11 Dec 2013

Hello MAtricks,

We will check that.

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Re: Tick by tick test or bar magnifier question

Postby Henry MultiСharts » 12 Dec 2013

MAtricks, tick by tick bar magnifier is not available for resolutions 1 day and higher at the moment. This limitation was added due to the Windows memory limitations for 32 bit processes and has not been removed when MultiCharts 64 bit has been introduced.
We will remove this limitation for 64 bit versions of MultiCharts in one of the future versions.

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Re: Tick by tick test or bar magnifier question

Postby MAtricks » 12 Dec 2013

Thank you Henry. I'll be looking for it.

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Re: Tick by tick test or bar magnifier question

Postby MAtricks » 18 Dec 2013

1. While having the Bar Magnifier turned on, a back-test should only go as far back as we have the data required for the Bar Magnifier to do it's job. This should be fixed. As it is, we need to dig through our tick data and find out if we're really doing a BM test.

2. While having the Bar Magnifier turned on, entries and exits change even though they're calculated at the end of the bar.

3. Why do we have execution outside of the price with the Bar Magnifier turned on? There are some tests that I run that I have these buy/sell fills 20 points below the actual low. As soon as I turn off the BM, the orders go back to where they should be.

Sorry for not posting pictures like I usually do.. the current issues are spotted on sensitive work spaces.

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Re: Tick by tick test or bar magnifier question

Postby Henry MultiСharts » 18 Dec 2013

1. While having the Bar Magnifier turned on, a back-test should only go as far back as we have the data required for the Bar Magnifier to do it's job. This should be fixed. As it is, we need to dig through our tick data and find out if we're really doing a BM test.
Probably you mean-there is a room for imrovement. At the moment it works as it is designed to work - bar magnifier loads tick data for the data range of the main data series. You may want to submit a feature request to the Project Management of our web site: https://www.multicharts.com/pm/
2. While having the Bar Magnifier turned on, entries and exits change even though they're calculated at the end of the bar.
Please see how calculation on historical data with IOG and Bar Magnifier works.
3. Why do we have execution outside of the price with the Bar Magnifier turned on? There are some tests that I run that I have these buy/sell fills 20 points below the actual low. As soon as I turn off the BM, the orders go back to where they should be.
Please try the following:
1) Close MultiCharts and all of its processes.
2) Start QuoteManager window.
3) In QuoteManager highlight all symbols.
4) Right click on any of them ->Clear Cache.
5) Start MultiCharts.
6) Open the workspace and calculate your strategy.

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Re: Tick by tick test or bar magnifier question

Postby MAtricks » 18 Dec 2013

Anything that produces an unreliable back-test is considered a bug in my book.

I followed the 6 steps to the T and nothing changed :( Any other tips? I've always had problems with the Bar Magnifier being reliable.

Image

According to your posted wiki, this pertains to my case:

Code: Select all

Calculation on historical data. IOG disabled. Bar Magnifier enabled.
The script is calculated 1 time on main data series close. It is considered that there were only OHLC values of the detailed data series. Order is filled only on OHLC prices of the detailed data series.
I mocked up a quick strategy (IOG off):
buy next bar H stop ;
Sellshort next bar L stop ;

and yet, with the Bar Magnifier turned on, I get orders like this:

Image

The high and low work great with BM turned off. This happens about once every 25 bars or so in this example so there's nothing consistent that I see..

How would the OHLC prices be any different in the detailed data series? I'll dig into my tick data and see if there are any discrepancies, but it's all coming from the same reliable data source..
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Re: Tick by tick test or bar magnifier question

Postby Henry MultiСharts » 19 Dec 2013

Please send me (support@multicharts.com) the following information for further analysis:
- 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 with dependent functions the studies you are backtesting. Send me the study export file.

If the file size is >10 mb please upload it to any file sharing hosting and send me the download link.

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Re: Tick by tick test or bar magnifier question

Postby MAtricks » 19 Dec 2013

Thank you Henry. I'll probably just connect via Teamviewer tomorrow and let you do it your way :) In the mean time, here's what I see. Anyone else have these issues? I have them on 3 different data feeds, multiple symbols, and 2 different computers both running the MC 8.8 release.

Code: Select all

//EXAMPLE PURPOSES ONLY
//Written to show a Bar Magnifier issue
//Buys at the High one bar back and Sells at the Low one bar back

//with the Bar Magnifier turned OFF, things work as coded. With it turned ON, things are very inconsistent.
//please check the orders and see that they're always at the high/low of the previous bar (this isn't working on about every 5th bar)

//Specific issues:
//11/8/2013 the low was 1759.50, but an order was placed at 1742.25??
//11/29/2013 the stoploss/profit target didn't trigger..?

[intrabarordergeneration = false]

Buy next bar H stop ;
sellshort next bar L stop ;

//testing entries only so PT and SL are set to exit the orders asap
setprofittarget( 1 ) ;
setstoploss( 1 ) ;
Bar Magnifier turned OFF:
Image

Bar Magnifier turned ON:
Image
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Re: Tick by tick test or bar magnifier question

Postby Henry MultiСharts » 12 Feb 2014

The requested information has not been provided.

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Re: Tick by tick test or bar magnifier question

Postby MAtricks » 12 Feb 2014

Hmmm, I sent the workspace, code, QM data via dropbox, and an email describing everything. I was going to connect through TV as well. Seeing as I work from my computer, its hard to block out a period of time to hand it over to MC.


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