Backtest Trade entry exit lagging on daily chart
- This topic has 10 replies, 3 voices, and was last updated 1 month ago by
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I think the short answer here is that the backtest module only uses the closed OHLC values, this puts it approximately 1 bar behind the price to start off with. This can be observed , if I remember right, with the lines drawn from the backtest using the GRAPH commands, they only draw to the last closed bar.
Additionally, the code only updates once a bar, so if the last closed bar has the true entry condition in it, then it’s not until the opening of the next bar the order is executed. This though doesn’t get drawn till the execution bar becomes closed. If you graph the ‘ONMARKET’ variable. you will see that this aligns with the actually execution of the entry not the true condition point.
I can’t recall if the EQUITY and/or POSISTION plots mimic the timing and graphing of the strategy GRAPH’s or align with the price.
On a high time frame, this can be a big problem if the first minute of the day the condition is ‘true’ but the entry is delay until the next bar. Only way to counteract this is to use a lower time frame for the faster update period. This means recreating the higher time frame indicators in the lower time frame. This is were the TIMEFRAME command comes in. However, big lookback bar sizes can go beyond the capacity of the maximum 10k bars of the PRELOADBARS of the default time frame. If they do they, I can’t recall if you get a error message, or it works but give an incorrect value since there is not enough bars to do the calculation correctly.
Anyway, that’s part of the model I currently have in my head and I update it if I come across new info or get corrected by others.
I can’t recall if you get a error message,
Yes, we get an error message, something like … ‘insufficient historical data to calculate an Indicator’.
GraHal
Yep, that was/is my thinking, as I am using the daily….
I thought I should ask those (you and druby) for your experience with this platform, to save me from code entanglement!!!
Thank you for your valid and appreciated input!Aside.
AIM code support wise….
I fed system instructions and the PRT PBC A-Z glossary to Amazon Q (AIM) yesterday, and I have crossed checked the code output examples, via CGPT, and a specialist AIM:ProRealTime Code, By autotrading.ee….
So far, the code output results are interesting, and as of yet, there are no conflicts in the code either…Onwards I go…Thank you for your support, as always, it is much appreciated.
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ProRealTime Code, By autotrading.ee…. So far, the code output results are interesting, and as of yet, there are no conflicts in the code either…
- So are you quoting above from a statement on autotrading.ee ??
OR
2. Are you saying you obtained code from autotrading.ee?
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plus i am running the code thru AmazonQ via VS Code interface,
So does above mean you are running PRT code through / on AmazonQ website via a Visual Studio Code interface?
If Yes to above, is it all free or are you paying subscription fees?
1 user thanked author for this post.
- So are you quoting above from a statement on autotrading.ee ??
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