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Do we need to use the bar magnifier when backtesting/optimization in MultiCharts?


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Do we need to use the bar magnifier when backtesting/optimization in MultiCharts?

  #1 (permalink)
 
benharrell's Avatar
 benharrell 
Pittsburgh, Pa
 
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Hi Everyone,

Looking to get some clarification on the Bar Magnifier. To date, I've looked around attempting to determine the useage of the Bar Magnifier when developing a strategy. (Specifically when using 13 point bar in MC) --we are currently using IOG. The question is, do we need to use the bar magnifier when backtesting/optimization? It seems like with IOG turned on, and bar magnifier..with 13 point bars..it doesnt matter what strategy we are backtesting..the length of time needed to test is dramatically increased..on a quad core processor. I just want to ensure I'm getting the most accurate results in backtesting/optimization.

Thanks in advance for the ideas and thoughts...

-Ben

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  #3 (permalink)
 
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 Big Mike 
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Bar Magnifier is of no use on tick data (range, tick, volume, etc). Only on minute data is it useful, as what it does is apply tick data 'behind the scenes' to your minute data.

Check here also:


Mike

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  #4 (permalink)
 
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 benharrell 
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Interesting...I would have thought that the Bar Magnifier would need to be used with tick data. Well, I guess that kills my theory on why I would have historical backtest results that are different from live results. Maybe it's the data feed? Thanks for answering the original question. Much obliged.

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 Big Mike 
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Well first I am only stating what I believe to be accurate -- I'm not the developer So, why not fire an email to MultiCharts support or do a live chat with them tomorrow.

But to the best of my knowledge, Bar Magnifier is only useful when taking minute data and wanting to "see inside" that minute data to get a perfectly accurate OHLC order. It does this behind the scenes.

One possibility you are getting different results could be fills. If you are using limit orders, there is an option to make price pierce your limit bid/ask before getting filed. If you are using market orders, you could be seeing slippage in realtime whereas your backtest you did not specify a slippage amount.

Another possibility is some chart types, like line break or renko, won't work well for backtesting. You'll have to use a tick or range dataseries for 'data1' to submit the orders, and have your renko or 3LB chart on 'data2'. This is because of the way Renko and 3LB charts are created.

Mike

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  #6 (permalink)
crbucks
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Just wondering why bar magnifier in multi charts does not work with volume based bars?

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 Big Mike 
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Because volume based bars are already built on tick data.

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  #8 (permalink)
crbucks
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Hi Mike, with a volume bar, does multicharts when backtesting simulate how the bar would have been formed in real life market conditions. Is there anyway to magnify a volume based bar so that the backtesting will consider how the bar went from open to close? Thanks

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  #9 (permalink)
 
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 Big Mike 
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crbucks View Post
Hi Mike, with a volume bar, does multicharts when backtesting simulate how the bar would have been formed in real life market conditions. Is there anyway to magnify a volume based bar so that the backtesting will consider how the bar went from open to close? Thanks

Best of my knowledge, a volume bar is already tick-by-tick, just like a range or actual tick bar. Only minute or daily bars need 'magnified'.

Mike

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Last Updated on May 4, 2011


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