BACKTESTING (3 YEAR PERIOD) WITH MTF (1 MINUTE AND 1 SECOND)

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  • 11/16/2022 at 4:48 PM #204271 quote
    cmadonar
    Participant
    New

    Good afternoon

    I have programmed a system (see attachment) in which the entry conditions are calculated in 1 minute timeframe, and the exit conditions are calculated in 1 second timeframe.

    So, for the entry conditions code I wrote TIMEFRAME(1 minute, UpdateOnClose)

    And for the exit conditions I wrote TIMEFRAME(default).

    Now I am trying to run a back test for the last 3 years.

    My question is:

    I wonder if this will this be too much for the processing capacity of the platform, as I want to test my code for three years with part of it in minutes  and part in seconds.

    Should I expect troubles or should I expect the backtest to run smoothly? Can you please give me any comMent?

    Many thanks in advance and best regards,

    Carlos

    Codigo.png Codigo.png
    11/16/2022 at 4:56 PM #204274 quote
    Nicolas
    Keymaster
    Master

    If you are able to display a chart of 3 years of data in 1-second timeframe for that specific instrument, then the backtest should run smoothly from start to end.

    cmadonar thanked this post
    11/16/2022 at 5:15 PM #204276 quote
    PeterSt
    Participant
    Master

    … which won’t happen because e.g. FUTU Holdings is (including Extended Trading Hours) 57600 seconds open per day = 288000 seconds per week. With 1M bars (each bar 1 second) – which is the maximum (for the Premium account) – this gives less than 4 weeks.
    With only Regular Opening Times it is more (5.5 hours = 19800 seconds per day).

    It may run sufficiently smooth for you if you don’t know any better, but in practice it is painfully slow compared to e.g. 1 minute (and again 1M bars). In my experience 5-10 times slower than timeframes based on minutes or higher.

    If my math or otherwise is wrong, I am happy to be overruled. 🙂

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BACKTESTING (3 YEAR PERIOD) WITH MTF (1 MINUTE AND 1 SECOND)


ProOrder: Automated Strategies & Backtesting

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cmadonar @cmadonar Participant
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This topic contains 2 replies,
has 3 voices, and was last updated by PeterSt
3 years, 3 months ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 11/16/2022
Status: Active
Attachments: 1 files
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