MACD Value Discrepancy

VMarkov · 2024-07-11T09:30:22+00:00

Hi all, I am trying to backtest a strategy that relies on the precise values of the MACD line and signal. However, the ProBacktest values always seem to be slightly different to the indicator (sometimes the difference is quite severe and the actual histogram is wrong). I’ve attached a screenshot of what this looks like. For this example, I’ve simply graphed the MACD line and signal values at each current bar to see what exactly is going on. line1 = MACDLine[12, 26, 9](Close) line2 = MACDLine[12, 26, 9](Close)[1] signal1 = MACDSignal[12, 26, 9](Close) signal2 = MACDSignal[12, 26, 9](Close)[1] graph line1 as "line1" graph signal1 as "signal1" // I’ve tried playing around with Preloadbars and the number of units to no avail. This is also run on a single TF. If anyone can shed some light on this, that would be very much appreciated. Thank you.

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07/12/2024 at 9:05 AM #235140 quote

druby
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Junior

Without checking, I would think that every value, within reason, could suffer if it uses 6dp compared to back-test, or indicator.

@JS passed along some crucial info with the back-test 5dp. I have known about the discrepancy by never made the connection, or asked the question, @vMarkov.

Got me thinking over night, ‘IS’ there only 5 or 6 dp’s or are they limited to 5 or 6.

After a few tests. Multiplying the value in back-test by 10, moves the digits to the left bringing the rounded digit back to life.

So if precision is a issue, maybe this could be away around it. Do calculation outside and/or multiply by 10.

Also, I don’t know how many dp’s the PRT system uses, but shifting to the left further than 10, appears to bring in more changing digits.

If these are valid then higher precision could be reached by shifting.

Shifted the √2 =1.414213562337309 15 places to the left and it still lined up with calculator.

Further shifts did bring more digits, but didn’t align, and as number gets bigger the approximation kicks in, and then bust, too big, but still shows all digits under cursor info.
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