Back test tick by tick not working

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  • 06/29/2020 at 11:11 AM #137478 quote
    deletedaccount100622
    Participant
    New

    Hi

    at the moment all of my back tests are only closing positions at the end of candles even though testing with tick by tick enabled, is this happening to anyone else?

    Thanks

    Ruark

    Tick-By-Tick.png Tick-By-Tick.png
    06/29/2020 at 11:44 AM #137487 quote
    GraHal
    Participant
    Master

    Is it Systems with orders for TP and SL that you are backtesting?

    06/29/2020 at 11:54 AM #137488 quote
    deletedaccount100622
    Participant
    New

    The one is a vanilla set stop at X% and TP at X% on opening the position

    My other systems do the same but the move the stop and TP at the close of the bar but a stop and take profit is always in place

    06/29/2020 at 12:01 PM #137489 quote
    Nicolas
    Keymaster
    Master

    It’s working. You will never get the exact precise time of when the position is closed. The “exit date” column just tells the bar of the current timeframe when the exit happened.

    06/29/2020 at 12:06 PM #137490 quote
    deletedaccount100622
    Participant
    New

    If that were the case would the results not change when I tested with tick by tick checked and unchecked? I the past this had a significant impact on the results

    In the image below tick by tick is checked on the left but not on the right and the results are exactly the same

    ticked-and-unticked.png ticked-and-unticked.png
    06/29/2020 at 2:14 PM #137502 quote
    Nicolas
    Keymaster
    Master

    Is that the results of optimization? and not a simple backtest without variables optimization?

    06/29/2020 at 2:22 PM #137506 quote
    Nicolas
    Keymaster
    Master

    It seems that there are no bars experiencing the 0-bar issue in which both the TP and SL levels are contained. So the results with or w/o the tick by tick mode should be the same in this case.

    06/29/2020 at 2:31 PM #137507 quote
    deletedaccount100622
    Participant
    New

    The code is optimised but has switches for VWAP and Breakeven, which I have inverted for the test below but the result of tick by tick or not is still the same

    This is happening for all the codes I run, MTF and non MTF

    For the system attached below there is a signal line on line 45 to uncomment to run the test, the attached file has the original VWAP and Breakeven settings

    Thanks

    tick-by-tick-2.png tick-by-tick-2.png Phoenix-Dax-30M-L245Tot-V6-Sig.itf Phoenix-Dax-30Min-L245T-V9.itf
    06/29/2020 at 3:32 PM #137519 quote
    Nicolas
    Keymaster
    Master

    Sorry but do you expect me to inspect all orders to check if each bar contain at the same time the stoploss and the takeprofit levels? 🙄

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Back test tick by tick not working


ProOrder: Automated Strategies & Backtesting

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deletedaccount100622 @deletedaccount100622 Participant
Summary

This topic contains 8 replies,
has 3 voices, and was last updated by Nicolas
5 years, 8 months ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 06/29/2020
Status: Active
Attachments: 5 files
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