Difference between revisions of "Why is Data Playback strategy performance different from Backtesting results?"

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When BarMagnifier is enabled, Data Playback calculation does not take into account local extremums and additional Open and Close prices of the main series bar.
 
When BarMagnifier is enabled, Data Playback calculation does not take into account local extremums and additional Open and Close prices of the main series bar.
 
[[Category: FAQ]]
 

Revision as of 13:07, 5 May 2016

Data Playback strategy performance and backtesting results will never be exactly the same due to a number of differences between playback and backtesting calculation.

Intra-Bar Order Generation mode enabled

  • Backtesting with bar Magnifier enabled attempts to execute orders only on OHLC prices of the detailed data series. MultiCharts acts as if there were no other prices in-between (between O and H, between H and L etc.). Therefore the signal is calculated at least 4 times on one bar (4 * number of details series bars + Open and Close of the main series). I.e. if the Bar Magnifier is set to 1 minute on a 5 minute chart, the signal will be calculated up to 22 times (4 * 5 +2) per bar.
  • In Data Playback mode (as well as in real-time calculation) MultiCharts tries to execute orders on every tick that is received, on Close price. I.e. if the Bar Magnifier is set to 1 minute on a 5 minute chart, the signal will be calculated only 5 times per bar.

Intra-Bar Order Generation mode disabled

  • If the BarMagnifier is disabled, in Backtesting the signal is calculated on OHCL prices and Multicharts "thinks" that prices between OHLC exist. The average number of calculations = BarCount * 4 + local minimums and maximums.
  • If BarMagnifier is enabled, in Backtesting the signal is calculated on OHCL prices of the detailed data series and Multicharts "thinks" that prices between OHLC of the detailed data series do not exist. Average number of calculations = BarCount * (detailed series size * 4 + (Open + Close of the main series bar)).

Thus, the number of calculations and available prices differ significantly. This leads to different results.

When BarMagnifier is enabled, Data Playback calculation does not take into account local extremums and additional Open and Close prices of the main series bar.