Strategy backtesting a with tick or minute resolution

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DukeNukem
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Strategy backtesting a with tick or minute resolution

Postby DukeNukem » 07 Jan 2012

Hello, how would I backtest a daily bar strategy (in portfolio backtester) on multiple instruments with tick / minute / second resolution? Thanks in advance

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Henry MultiСharts
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Re: Strategy backtesting a with tick or minute resolution

Postby Henry MultiСharts » 10 Jan 2012

Hello DukeNukem.
Please describe what do you mean in details.
Do you mean that you have a strategy designed for calculation on a daily resolution?

DukeNukem
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Re: Strategy backtesting a with tick or minute resolution

Postby DukeNukem » 10 Jan 2012

Thanks for your reply. I have strategies which run on daily charts (ie donchian breakout, etc), however, I would like to test incorporating all data on lower resolutions in order to accurately quantify where the stop losses occurred, etc. and have a better feel for how this daily chart strategy would perform in a real trading environment. Thanks Henry.

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Henry MultiСharts
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Re: Strategy backtesting a with tick or minute resolution

Postby Henry MultiСharts » 11 Jan 2012

Please make a right click on the instrument in Poftfolio Backtester->Format instrument->Settings->Specify the resolution you need.
Please keep in mind that you should have this data in the database or be able to obtain it from the data source.

DukeNukem
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Re: Strategy backtesting a with tick or minute resolution

Postby DukeNukem » 11 Jan 2012

How would I program my strategy to execute using daily bars while keeping the resolution at 1 minute? Otherwise it will try to execute using the last (for example) 150 minute bars where I want it to execute using the last 150 daily bars, just using minute bars to check information about the where the stop loss is triggered? Thankyou and great software

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Henry MultiСharts
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Re: Strategy backtesting a with tick or minute resolution

Postby Henry MultiСharts » 12 Jan 2012

DukeNukem wrote:How would I program my strategy to execute using daily bars while keeping the resolution at 1 minute? Otherwise it will try to execute using the last (for example) 150 minute bars where I want it to execute using the last 150 daily bars, just using minute bars to check information about the where the stop loss is triggered? Thankyou and great software

Your trading resolution should be the main data series.
Then you need to add second data series (subchart) with XXX resolution.
The script calculation can be based on the subchart (data series2)
for ex. buy next bar at close of data2.
In MultiCharts the second data series is added using Format tab->Instrument->Add.
In Poftfolio Backtester the second data series is added using the vertical Data columns.
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DukeNukem
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Re: Strategy backtesting a with tick or minute resolution

Postby DukeNukem » 12 Jan 2012

ok thanks


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