Understanding Tick by Tick Mode in Backtesting

07 May 2024
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This explanation focuses on the concept of “tick by tick” mode during backtesting in trading strategies. The tick by tick mode is crucial for achieving more precise backtesting results by simulating each individual trade (tick) that occurs. However, due to resource limitations, optimizations are not always performed in this mode.


Les optimisations étant réalisés côté serveurs, toute la journée, par des milliers de personnes, pour limiter les ressources et donc gagner du temps de calcul, elles ne sont pas réalisés en mode tick par tick. Il faut se référer à la colonne "tick mode" dans la fenêtre de résultats des optimisations. Cette colonne indique le nombre de transactions pour lesquelles le mode tick by tick peut prédire un résultat différent. Lorsque on effectue une optimisation, le backtest est exécuté pour chaque combinaison possible de paramètres sans le mode tick by tick. Ensuite, lorsque on clique sur une ligne du rapport d'optimisation, les résultats détaillés correspondent au backtest avec le mode tick by tick si il est activé lors du lancement du backtest. Par conséquent, si le nombre dans cette colonne est différent de zéro, on peut trouver des résultats légèrement différents entre le rapport d'optimisation et le rapport détaillé pour un ensemble donné de valeurs de paramètres. Toutefois, il n'y a pas de règle immuable, bien que plus ce nombre est élevé, plus il y a eu d'approximations et donc plus les résultats risquent d'être inexacts mais les résultats peuvent être corrects même si ce nombre est différent de zéro (si l'approximation faite est correcte).

Step-by-step explanation:

  • Resource Limitation: The snippet begins by explaining that due to the extensive use of server resources by thousands of users, optimizations are not performed in tick by tick mode to save computation time.
  • Tick Mode Column: It mentions a “tick mode” column in the optimization result window, which shows the number of transactions for which tick by tick mode might predict a different outcome.
  • Backtest Execution: Initially, backtests are run without tick by tick mode for each parameter combination during optimization.
  • Detailed Results: When a user selects a specific optimization report line, the detailed results correspond to the backtest performed with tick by tick mode if it was enabled at the start of the backtest.
  • Result Variations: If the number in the tick mode column is non-zero, there might be slight differences between the optimization report and the detailed report for a given set of parameter values. This indicates that more approximations were made, which could lead to less accurate results, although they can still be correct if the approximations are accurate.

Related Post

Check out this related content for more information:

https://www.prorealcode.com/topic/probacktest-optimisation-et-tick-by-tick/#post-206767

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What is a Snippet? A snippet is a small, reusable chunk of code designed to solve specific tasks quickly. Think of it as a shortcut that helps you achieve your coding goals without reinventing the wheel. How to Use: Simply copy the snippet and paste it into your project where needed. Don't forget to tweak it to fit your context. Snippets are not just time-savers; they're also learning tools to help you become a more efficient coder.
Nicolas Master
I created ProRealCode because I believe in the power of shared knowledge. I spend my time coding new tools and helping members solve complex problems. If you are stuck on a code or need a fresh perspective on a strategy, I am always willing to help. Welcome to the community!
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