AUto Trading Misleading ???

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Thomas Mann
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AUto Trading Misleading ???

Postby Thomas Mann » 06 Mar 2009

Hi All,
After getting the Auto Trader to work with the latest beta I have run it for a couple days and have noticed that when I back test my strategy I get excellent results as I expect from my Algorithm. When I run it live on a IB Simulation Account however I notice that when my Algorithm detects a shift in the current move, and tries to exit with a small profit or loss it can not get filled. The back test assumes it got filled at the trigger price so the results look much better. Is there a way to do a close all and cancel all within a bar and not have to wait for a bar close or the next bar before it tries ? I have tried turning on the IntraBar Generation, but it did not seem to help.
Thanks

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TJ
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Postby TJ » 06 Mar 2009

welcome to the world of backtesting, forward sim testing, and live trading.
you will find results different from all three.

In live trading, your order is at the back of the queue... which translates to even more possible delays.

I don't have a real solution, other than to give your backtest/sim strategy 1~2 tick leeway.

brodnicki steven
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Postby brodnicki steven » 08 Mar 2009

I think Marina mentioned that a walk forward module will be in an upcoming version of Multicharts, that should show just how curve fitted most systems are to the past.
Be generous with slippage, comission and do walk forward testing in up, down and sideways markets, to really test a system, before expecting positive results with autotrading.

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Andrew Kirillov
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Postby Andrew Kirillov » 12 Mar 2009

We are working on precise Backtesting that will use tick by tick data to simulate real trading better. It is called look-inside-bar in TS8. Our engine will use look-inside-bar-mimic technology and bids/ask to simulate more realistic trading environment.
Backtesting that factors bids/ask in available in the recent betas. You can add two data streams – bids + asks and the software will use ask for buy and bid to sell.
Walk-forward testing is under development too.
These features will be available in MultiCharts 6.

brodnicki steven
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Postby brodnicki steven » 12 Mar 2009

Andrew- you said "Backtesting that factors bids/ask in available in the recent betas. You can add two data streams – bids + asks and the software will use ask for buy and bid to sell. "
* I'd like to try that but do I add the Bid and Ask in Quote manager only ? or on the charts , both , within the strategy itself ? Please explain in detail. I'm using v5 beta2.
Thanks-

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Andrew Kirillov
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Postby Andrew Kirillov » 13 Mar 2009

Steven,
You should use the latest beta. I'm not sure it is available in beta 2.
To use the advanced backtesting:
You should add two data streams in the same chart window, add a strategy, go to properties->Backtesting and select extended mode. Set which data stream should reflect - bid or ask.


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