Multi spread back test

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  • 06/23/2020 at 9:24 AM #136883 quote
    Gaby
    Participant
    Average

    Hi,

    based on the different time of the day the buy / sell spreads can vary significantly. My objective is to improve the back test performance accuracy and I have two questions:

    1. is there a way to code different spreads applied at different time of the day and to consider them in the overall P&L strategy calculation?
    2. Is there a plan for future release to include multi-spread values in back test view (at the moment only one spread can be defined, it would be great if the spreads could be inserted in relation to different periods of the day)

    Thanks, Gaby

    06/23/2020 at 10:23 AM #136897 quote
    GraHal
    Participant
    Master

    Please suggest 2 above direct to PRT using the Form below …

    https://www.prorealtime.com/en/contact?suggestion=1

    06/23/2020 at 5:28 PM #136965 quote
    Gaby
    Participant
    Average

    Thanks GraHal, I have submitted the suggestion.

    I recall someone put some come in the forum related to this topic (multi-spread), but I am not able to find it anymore… Not sure if this option 1 is possible.

    06/23/2020 at 5:42 PM #136967 quote
    GraHal
    Participant
    Master

    It was Paul I think? I’ll try and find it.

    Best you could achieve is to reduce profit / increase loss by spread values relative to Times in the code.

    Above would then give a better comparison of backtest to Real Live results.

    But then before starting on Real Live, the varying spread code would be commented out.

    As an (easier) compromise, I enter an average of best case / worst case spread in the backtest engine.

    For example, on the DJI I enter 4 for a 24 hour System. Maybe 4 is not enough as since Covid volatility as spread has not gone back to (pre Covid) market hours rate of, what was it, 1.6?? 🙂

    PS

    Ha … found it I think??

    https://www.prorealcode.com/topic/spread-indicator-for-strategy/

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Multi spread back test


ProOrder: Automated Strategies & Backtesting

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Gaby @gaby Participant
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This topic contains 3 replies,
has 2 voices, and was last updated by GraHal
5 years, 8 months ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 06/23/2020
Status: Active
Attachments: No files
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