Difference between revisions of "Why is Data Playback strategy performance different from Backtesting results?"
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Data Playback strategy performance and backtesting results will never be exactly the same due to a number of differences between playback and backtesting calculation. | Data Playback strategy performance and backtesting results will never be exactly the same due to a number of differences between playback and backtesting calculation. | ||
| − | + | ==[http://www.multicharts.com/trading-software/index.php/Signal_Settings| Intra-Bar Order Generation] mode enabled== | |
| − | * Backtesting | + | === Bar Magnifier enabled === |
| + | |||
| + | * Backtesting 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. | ||
| + | |||
| + | === Bar Magnifier disabled === | ||
| + | |||
| + | * In Backtesting the signal is calculated on OHCL prices and Multicharts "thinks" that prices between OHLC exist. The exact number of calculations = 4. | ||
* 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. | * 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. | ||
| − | + | ==[http://www.multicharts.com/trading-software/index.php/Signal_Settings| Intra-Bar Order Generation] mode disabled== | |
| + | |||
| + | === Bar Magnifier enabled === | ||
| + | |||
| + | * In backtesting the signal is calculated on Close price of the main series, but MultiCcharts tries to execute orders on OHLC price of the detailed data series and Multicharts "thinks" that prices between OHLC of the detailed data series do not exist. | ||
| − | + | === Bar Magnifier disabled === | |
| − | * | + | * In backtesting signal is calculated on Close price of the main series and Multicharts "thinks" that prices between OHLC exist. |
Thus, the number of calculations and available prices differ significantly. This leads to different results. | 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. | 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. | ||
Revision as of 13:15, 2 September 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.
Contents
Intra-Bar Order Generation mode enabled
Bar Magnifier enabled
- Backtesting 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.
Bar Magnifier disabled
- In Backtesting the signal is calculated on OHCL prices and Multicharts "thinks" that prices between OHLC exist. The exact number of calculations = 4.
- 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
Bar Magnifier enabled
- In backtesting the signal is calculated on Close price of the main series, but MultiCcharts tries to execute orders on OHLC price of the detailed data series and Multicharts "thinks" that prices between OHLC of the detailed data series do not exist.
Bar Magnifier disabled
- In backtesting signal is calculated on Close price of the main series and Multicharts "thinks" that prices between OHLC exist.
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.
