Difference between revisions of "Why is Data Playback strategy performance different from Backtesting results?"
Jump to navigation
Jump to search
| Line 11: | Line 11: | ||
* In Backtesting the signal is calculated on OHCL prices and Multicharts "thinks" that prices between OHLC exist. The exact number of calculations = 4. | * 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 | + | * In Data Playback mode the signal is calculated on every tick that is received, but MultiCharts tries to execute orders on Close price of the detailed data series (how detailed your data series is depends on the selected data playback resolution). |
==[http://www.multicharts.com/trading-software/index.php/Signal_Settings| Intra-Bar Order Generation] mode disabled== | ==[http://www.multicharts.com/trading-software/index.php/Signal_Settings| Intra-Bar Order Generation] mode disabled== | ||
| Line 17: | Line 17: | ||
=== Bar Magnifier enabled === | === 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 | + | * 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 exist. |
=== Bar Magnifier disabled === | === Bar Magnifier disabled === | ||
* In backtesting the signal is calculated on Close price of the main series and Multicharts "thinks" that prices between OHLC exist. | * In backtesting the signal is calculated on Close price of the main series and Multicharts "thinks" that prices between OHLC exist. | ||
| + | |||
| + | * In Data Playback mode the signal is calculated on Close of the main series and MC tries to execute orders on OHLC prices of the detailed data series and MC "thinks" that prices between OHLC do not exist (how detailed your data series is depends on the selected data playback resolution). | ||
| + | |||
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 | + | <div style="background-color: #E3FBE5;">Note: Bar Magnifier mode cannot be used during Data Playback. When Data Playback is turned on, Bar Magnifier gets turned off if it was enabled previously.</div> |
Revision as of 17:23, 6 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 the signal is calculated on every tick that is received, but MultiCharts tries to execute orders on Close price of the detailed data series (how detailed your data series is depends on the selected data playback resolution).
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 exist.
Bar Magnifier disabled
- In backtesting the signal is calculated on Close price of the main series and Multicharts "thinks" that prices between OHLC exist.
- In Data Playback mode the signal is calculated on Close of the main series and MC tries to execute orders on OHLC prices of the detailed data series and MC "thinks" that prices between OHLC do not exist (how detailed your data series is depends on the selected data playback resolution).
Thus, the number of calculations and available prices differ significantly. This leads to different results.
Note: Bar Magnifier mode cannot be used during Data Playback. When Data Playback is turned on, Bar Magnifier gets turned off if it was enabled previously.
