Changes

Intra-Bar Order Generation, Bar Magnifier on Non-Standard Chart Types

3,306 bytes added, 12:24, 12 April 2012

no edit summary

[[Category:Non-Standard Chart Types‎]]

==Intra-Bar Order Generation in Backtesting==

Intra-Bar Order Generation mode allows generating orders within a bar. In backtesting Intra-Bar Order Generation is limited by four calculations per bar: '''Open''', '''High''', '''Low''', '''Close'''.

Historical Intra-Bar calculation of the strategy is divided into 4 segments:

# (Open),

# (Open-High),

# (High-Low),

# (Low-Close).

Calculation of the '''“Buy next bar at market”''' strategy is done as follows:

# calculation on the '''first''' bar segment ''(Open)'' and generation of a market order on Open = Low of the next bar segment.

# calculation on the '''second''' bar segment ''(Open-High)'' and generation of a market order on Open = High of the next bar segment.

# calculation on the '''third''' bar segment ''(High-Low)'' and generation of a market order on Open = Low of the next bar segment.

# calculation on the '''fourth''' bar segment ''(Low-Close)'' and generation of a market order on Open of the next bar.

Calculation of the '''“Buy this bar at Close”''' strategy is done the same way as with Intra-Bar Order Generation off, i.e. the orders will be generated on the Close of the current bar.

Calculation of the strategy that generates '''price orders''' will be performed the same way, but the generation of price orders will be limited by ''Stop'' or ''Limit'' conditions.

'''Bar Magnifier''' is essential for more detailed calculation of the strategy on historical data.

'''Bar Magnifier''' with '''Intra-Bar Order Generation''' ON allows a strategy to be calculated not only four times per bar (using OHLC data as with only Intra-Bar Order Generation ON), but as many times as there is detailed data.

==Intra-Bar Order Generation in Real-Time Calculation==

'''Intra-Bar Order Generation''' mode allows the strategy to generate orders within the bar. In this case the calculation of the strategy is made on every tick of the bar.

{| class="wikitable"

|-

!

! BackTesting + IOG

! BackTest + Bar Magnifier + IOG

! Real-Time + IOG

|-

! Regular

| As described above

| Strategy calculation is done on every tick of a bar.

|-

! Point & Figure

| X column is specified as: (Open), (Open-Low), (Low-High), (High-Close).

O column is specified as: (Open), (Open-High), (High-Low), (Low-Close).