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

cmadonar · 2022-11-16T15:48:25+00:00

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

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11/16/2022 at 4:48 PM #204271 quote

cmadonar
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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

11/16/2022 at 4:56 PM #204274 quote

Nicolas
Keymaster

Legend

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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