Hi, I have a very basic back testing question. Well sort of . One question compounded into about three. Before I can ask the questions I first have to explain my general approach to trading that I have developed over about 13 years. I describe it in the next paragraph then do my best to ask the questions.Update so save some reading if you are just starting.
I did the tests mentioned in the 5th post below. The result of the test is that the indicators (and even a dummy signal) placed in the 5 minute bars chart) did not execute when I ran a backtest. This was true when I ran the backtest from the 1 minute bar chart and in the portfolio backtester which has the 5 minute bars listed as a data set for the symbol. So as per the topic the question is "how do I get the GVs from other studies/indicators in other chart resolutions into the 1 minute bar chart signal script that executes the orders?" As mentioned in the thread it would be better if these other resolution scripts/studies could be included as part of the backtest rather than have to copy large amounts of duplicate code into a single script.
Basics of my system:
My system involves visually reading multiple levels of waves in the market. I read them in a multi level manor meaning as the upward 1/2 of a parent wave is moving up it consists of a series of child waves and these child waves have smaller grandchild waves. That is the basic idea (waves within waves within waves). Although my trading system also takes into account resistance points and support points (bounces as I often call them) the biggest component of any trade I take will be where 2 or 3 levels of waves are shifting toward greater profit in the direction I am considering (long/short). In the past I could not figure out how to get MultiCharts to read these waves properly. Only within the last month or so have I started to figure out how to develop MultiCharts scripts that can read the waves in the market very close to the way I read them (matching at about 80% to 90%). So with this breakthrough in hand I am focusing my attention on back testing and auto trading. So in order to try and work toward having MultiCharts back test my strategy I have worked out chart resolutions that will be set such that they are likely to capture the various wave levels. For example the lowest wave level is picked up by the 1 minute bars, the next bigger wave level is picked up by the 5 minute bars, the next bigger wave level is picked up by the 15 minute bars, etc.
The questions:
The signal that executes the entry/exit orders will be in the 1 minute bars. However it will not signal entry into the market until it determines (1/ a good trigger exists and 2/ Global Variables are set indicating that the upper level waves say it is okay to take the trade). Here is all I know how to do at this point. To back test I go to (format my 1 minute bar signal, click optimize, click Exhaustive, click okay, change at least one input so it will allow me to click okay, click okay) and I get my performance report. Seems easy (It runs through the 1 minute bars twice applying each of the two settings for my input). However that creates a question. Does it also process the other resolutions (5 minute, 15 minute, 30 minute, daily, weekly) such that it will have the GV input it needs? If not will the portfolio trader help (I noticed it has a back testing, optimization and automatic order execution). I am also asking myself if I have to start using "Data2, Data3 in my 1 minute bars chart for the higher resolution info that is required for my system. Last question. I was gathering ideas on using the scanner to scan up to 100 stocks with the 64 bit version of MultiCharts then auto-trade up to 5 stocks for a day then I noticed the portfolio trader and I am wondering if the portfolio trader is better suited for this goal?
Hopefully this is clearer than mud . Any thoughts on how to go about this would be appreciated.
Thanks,
John