used resolution with backtesting of intraday strategies

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RS
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used resolution with backtesting of intraday strategies

Postby RS » 11 Apr 2008

Dear Marina,

In the topic http://forum.tssupport.com/viewtopic.php?t=2977 Andrew stated that backtesting is done on the same resolution as the chart.

I have a intraday strategy (10 minute bars) which uses stop orders. In real time the tick data is used -as expected- to test the stop condition. This works well.

When backtesting the same strategy, does MultiCharts uses the 1-minute data and assumes the zigzag movement or use MC the underlying tick data in the database for the exact chronological order of the bar transactions, as stated in the documentation?


Thanks for your answer,
Rob.

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Andrew Kirillov
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Postby Andrew Kirillov » 11 Apr 2008

Dear Rob,
MultiCharts will use 10 minute bar and the zig zag assumption will be applied to this 10m resolution.
Our help system describes and illustrates how the zig zag assumption works. It is necessary when we don't have detailed information (ticks or 1 minutes) to make judgments.
What you are talking about is "look inside bar" when the strategy backtesting engine gets higher time frame data to provide more accurate backtesting results.
It is not possible yet, but we set high priority to this feature since there are many customers need it.

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danilo
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Postby danilo » 11 Apr 2008

Andrew,

do you have any ETA for this IMPORTANT feature ?

Thanks for your answer,
Danilo

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Andrew Kirillov
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Postby Andrew Kirillov » 12 Apr 2008

ETA is the end of 2008. It is possible we will release it earlier, but I'm conservative in my estimations.

phil
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Postby phil » 13 Jun 2008

it's that possible to have the indise bar feature that goes inside tick bar because minute bar are not enough to develop a good strategies when you are a daytrader.

phil

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Marina Pashkova
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Postby Marina Pashkova » 17 Jun 2008

Dear Phil,

We'll be implementing the look-inside-bar feature in future MC versions.

Regards.


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