"Signal Gap" in Backtesting - futures io
futures io futures trading



"Signal Gap" in Backtesting


Discussion in MultiCharts

Updated
      Top Posters
    1. looks_one ABCTG with 5 posts (0 thanks)
    2. looks_two Thatsbooo with 3 posts (1 thanks)
    3. looks_3 choke35 with 1 posts (1 thanks)
    4. looks_4 sptrader with 1 posts (0 thanks)
    1. trending_up 593 views
    2. thumb_up 2 thanks given
    3. group 2 followers
    1. forum 9 posts
    2. attach_file 2 attachments




Welcome to futures io: the largest futures trading community on the planet, with well over 125,000 members
  • Genuine reviews from real traders, not fake reviews from stealth vendors
  • Quality education from leading professional traders
  • We are a friendly, helpful, and positive community
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts
  • We are here to help, just let us know what you need
You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

(If you already have an account, login at the top of the page)

 
Search this Thread
 

"Signal Gap" in Backtesting

(login for full post details)
  #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?

Started this thread Reply With Quote

Journal Challenge February 2021 results (so far):
Competing for $1500 in prizes from Topstep
looks_oneSBtrader82 's Trading Journalby SBtrader82
(152 thanks from 29 posts)
looks_twoJust BEING a Trader: Letting Go!!by iqgod
(111 thanks from 32 posts)
looks_3Wisdom is Emptinessby Mtype
(68 thanks from 25 posts)
looks_4Deetee’s DAX Trading Journal (time based)by Deetee
(31 thanks from 16 posts)
looks_5Journal for peanuts1956by peanuts1956
(23 thanks from 13 posts)
 
 
(login for full post details)
  #2 (permalink)
 
 
Posts: 2,230 since Apr 2013
Thanks: 409 given, 1,470 received


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

Follow me on Twitter Reply With Quote
 
(login for full post details)
  #3 (permalink)
Germany
 
Experience: Intermediate
Platform: Other
Trading: ES, YM, 6E
 
Posts: 2,668 since Feb 2013
Thanks: 5,099 given, 6,551 received



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.

Reply With Quote
The following user says Thank You to choke35 for this post:
 
(login for full post details)
  #4 (permalink)
 
 
Posts: 2,230 since Apr 2013
Thanks: 409 given, 1,470 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?


Follow me on Twitter Reply With Quote
 
(login for full post details)
  #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....

Started this thread Reply With Quote
 
(login for full post details)
  #6 (permalink)
Colorado
 
Experience: Advanced
Platform: MultiCharts
Broker: IB & Iqfeed
Trading: ES , CL
 
sptrader's Avatar
 
Posts: 543 since Apr 2010
Thanks: 1,094 given, 696 received


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).

Reply With Quote
 
(login for full post details)
  #7 (permalink)
 
 
Posts: 2,230 since Apr 2013
Thanks: 409 given, 1,470 received

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....


Follow me on Twitter Reply With Quote
 
(login for full post details)
  #8 (permalink)
 
 
Posts: 2,230 since Apr 2013
Thanks: 409 given, 1,470 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).


Follow me on Twitter Reply With Quote
 
(login for full post details)
  #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"

Started this thread Reply With Quote
The following user says Thank You to Thatsbooo for this post:
 
(login for full post details)
  #10 (permalink)
 
 
Posts: 2,230 since Apr 2013
Thanks: 409 given, 1,470 received


Thatsbooo,

thank you for the update.

Regards,

ABCTG

Follow me on Twitter Reply With Quote


futures io Trading Community Platforms and Indicators MultiCharts > "Signal Gap" in Backtesting


Last Updated on December 8, 2017


Upcoming Webinars and Events
 

NinjaTrader Indicator Challenge!

Ongoing
 

Journal Challenge w/$1500 prizes from Topstep!

February
 

Identifying Setups & Targets Using Profile Charts w/Trevor & Tradovate

Feb 25
 

Battlestations! Show us your trading desk - $1,500 in prizes!

March
     



Copyright © 2021 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts