Extended Backtesting

Questions about MultiCharts and user contributed studies.
duration
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Extended Backtesting

Postby duration » 19 May 2010

Hello,

It seems that the resolution of the data series for extended backtesting (bid/ask) must be identical to the resolution of the "main" data series where the signal is added.

For example, if the data series where the signal is added is using a Point 5 resolution, then the resolution of the bid/ask data series must also be Point 5.

1. Why is this?

2. In this case, how does the backtesting know what happened inside the bid/ask bars?

3. Does the Bar Magnifier also includes the bid/ask series?

Many thanks,

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JoshM
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Re: Extended Backtesting

Postby JoshM » 22 Jul 2011

duration wrote:...
1. Why is this?

2. In this case, how does the backtesting know what happened inside the bid/ask bars?

3. Does the Bar Magnifier also includes the bid/ask series?

These are still good questions - did you get/find an answer to these Duration? Perhaps somebody else can give their opinion?

I'm asking because I've noticed that, when adding three data series to a chart (Trade, Bid, Ask), the trade bars do not align with the Bid/Ask bars (which are in alignment with each other). In other words, when there is a trade bar, there is at that time no Bid or Ask bar.

Would MultiCharts with Extended Backtest settings then use the latest Bid/Ask from the previous bar (so the first available bar before the Trade Data1 bar), or match the Data1 bar time to the bid/ask time to determine the latest Bid/Ask during trade entry to get the precise price at which the order (theoretically) got executed?

Regards,
Josh

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Dave Masalov
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Re: Extended Backtesting

Postby Dave Masalov » 25 Jul 2011

Dear Sirs,

You may choose different resolution of the data series for extended backtesting (trade, bid, ask). As for Bar Magnifier, it does includes the bid/ask series. In Extending Backtesting Mode MC uses the latest Bid/Ask from the previous bar (the first available bar before the Trade Data1 bar) for calculation.
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