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"Signal Gap" in Backtesting


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"Signal Gap" in Backtesting

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  #1 (permalink)
Switzerland
 
Experience: Advanced
Platform: Multicharts
Broker: IB
Trading: RB, GC, CL, ES, US, S
 
Posts: 26 since Jul 2017
Thanks: 9 given, 2 received

Hi

I'm backtesting some markets with a very simple strategy. But in the first years I have a gap in my Signal.



I've already delete the Data in my Quote Manager and also reloaded the chart, but still the same problem.

The weird thing is, this "Signal Gap" is just on Soybean Meal, on other Markets it works fine even with the same settings.

Does anyone know where the issue is?

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  #2 (permalink)
Hamburg Germany
 
Experience: Advanced
Platform: Multicharts, Tradestation
Broker: DTN IQ
Trading: ES
 
Posts: 2,186 since Apr 2013
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Thatsbooo View Post
Does anyone know where the issue is?

Thatsbooo,

as the platform does only what the code tells it do (with the exception of a bug), chances are that the answer is within your code. I don't think there is something wrong with your data or the platform, but without knowing the code I can't say what's causing it.

Regards,

ABCTG

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  #3 (permalink)
Germany
 
Experience: Intermediate
Platform: Other
Trading: ES, YM, 6E
 
Posts: 2,666 since Feb 2013
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Thatsbooo View Post
Hi

I'm backtesting some markets with a very simple strategy. But in the first years I have a gap in my Signal.



I've already delete the Data in my Quote Manager and also reloaded the chart, but still the same problem.

The weird thing is, this "Signal Gap" is just on Soybean Meal, on other Markets it works fine even with the same settings.

Does anyone know where the issue is?

If you take a look at your price scale you can easily see that the whole backtest is useless because your
back-adjustments lead to completely invalid prices. That's the issue.

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  #4 (permalink)
Hamburg Germany
 
Experience: Advanced
Platform: Multicharts, Tradestation
Broker: DTN IQ
Trading: ES
 
Posts: 2,186 since Apr 2013
Thanks: 384 given, 1,421 received

Thatsbooo,

comparing the behavior of the build in RSI LE and RSI SE signal in both Tradestation and Multicharts shows that MC appears to have problems with the negative prices. Having said that, the answer might not be within your code, but the platform i.e. you might have found a bug here. You might want to demonstrate this to the MC support, so they can fix it.

Regards,

ABCTG


Thatsbooo View Post
Hi

I'm backtesting some markets with a very simple strategy. But in the first years I have a gap in my Signal.



I've already delete the Data in my Quote Manager and also reloaded the chart, but still the same problem.

The weird thing is, this "Signal Gap" is just on Soybean Meal, on other Markets it works fine even with the same settings.

Does anyone know where the issue is?


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  #5 (permalink)
Switzerland
 
Experience: Advanced
Platform: Multicharts
Broker: IB
Trading: RB, GC, CL, ES, US, S
 
Posts: 26 since Jul 2017
Thanks: 9 given, 2 received

Thanks for the reply, I didn't even realize the negative Price

Would be great if someone from @MultiCharts could say something to this Backtest results....

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  #6 (permalink)
Colorado
 
Experience: Advanced
Platform: MultiCharts
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I'm not sure that your symbol is correct for IQfeed. When I look it up it says @SM# NOT @SM#C.

On a side note, if you want to delete historical data in Multicharts, be sure to delete the Cache as well. (It's an option along with delete data).

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  #7 (permalink)
Hamburg Germany
 
Experience: Advanced
Platform: Multicharts, Tradestation
Broker: DTN IQ
Trading: ES
 
Posts: 2,186 since Apr 2013
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Thatsbooo,

@MultiCharts isn't active on futures.io anymore and you would have to post in their official forum or contact them directly to get a reply.

Regards,

ABCTG


Thatsbooo View Post
Thanks for the reply, I didn't even realize the negative Price

Would be great if someone from @MultiCharts could say something to this Backtest results....


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  #8 (permalink)
Hamburg Germany
 
Experience: Advanced
Platform: Multicharts, Tradestation
Broker: DTN IQ
Trading: ES
 
Posts: 2,186 since Apr 2013
Thanks: 384 given, 1,421 received

sptrader,

the symbol ending with "C" is the back-adjusted continuous contract for @SM#, which is just the continuous contract. The negative prices are simply a result of the back-adjustment method.

Regards,

ABCTG


sptrader View Post

I'm not sure that your symbol is correct for IQfeed. When I look it up it says @SM# NOT @SM#C.

On a side note, if you want to delete historical data in Multicharts, be sure to delete the Cache as well. (It's an option along with delete data).


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  #9 (permalink)
Switzerland
 
Experience: Advanced
Platform: Multicharts
Broker: IB
Trading: RB, GC, CL, ES, US, S
 
Posts: 26 since Jul 2017
Thanks: 9 given, 2 received

Today I received the answer from multicharts:

"Backtesting on negative prices is not supported in MultiCharts"

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  #10 (permalink)
Hamburg Germany
 
Experience: Advanced
Platform: Multicharts, Tradestation
Broker: DTN IQ
Trading: ES
 
Posts: 2,186 since Apr 2013
Thanks: 384 given, 1,421 received


Thatsbooo,

thank you for the update.

Regards,

ABCTG

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