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Testing the BackTesting >> SIM
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Testing the BackTesting >> SIM

  #1 (permalink)
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Testing the BackTesting >> SIM

Greets!

I have noticed an interesting 'effect' of comparing backtesting to SIM trades on the same days. At least to me.

While using Enter****Limit(), and the target limit price being the close (( Closes[0][0] )) of the trigger bar, I never seem to get an entry price at the open of the next bar IF the trigger bar is a down bar, but can get an entry at the open of the next bar if the trigger bar is an up bar or neutral bar.

I will be trying to code a test into a strategy to run against multiple currency pairs and comparing SIM <> BackTest on the same day data. I realize I can never expect results to be the same, but my observations by eyeball are too consistent to ignore.

I do feel that this, if correct, can have a bigger impact on trades than most any indicator you can use.

Any code gurus to help out? I am trying to make this a 'total' test including ouput to excel and analysis tools available within that (which is well beyond my skill level).

IF you think I am bullocks,,, tell me so!! lol

Jon

Writing to you from the wonderful province of Ontario, Canada. Home to the world's biggest natural negative ion generator, the Niagara Falls, and to those that dare to know how to go over it in a barrel. SALUTE!
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  #3 (permalink)
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Error in the code Spread6 indicator


Hi Jon,

I apologize for posting in this thread, but I couldn't find a thread for the Spread6 indicator and I couldn't send you a private message .

Great work on the Spread6 indicator.

But, I think there is an error in the code.


Quoting 

private double Spread6Calc(double price1, double q1, double price2, double q2, double price3, double q3, double price4, double q4, double price5, double q5, double price6, double q6)
{
if (UseMultiplier)
return
(price1 * Instruments[Instrument1].MasterInstrument.PointValue * q1)
+ (price2 * Instruments[Instrument2].MasterInstrument.PointValue * q2)
+ (price3 * Instruments[Instrument3].MasterInstrument.PointValue * q3)
+ (price4 * Instruments[Instrument4].MasterInstrument.PointValue * q4)
+ (price3 * Instruments[Instrument5].MasterInstrument.PointValue * q5)
+ (price4 * Instruments[Instrument6].MasterInstrument.PointValue * q6)

;
else
return
(price1 * q1)
+ (price2 * q2)
+ (price3 * q3)
+ (price4 * q4)
+ (price3 * q5)
+ (price4 * q6)

;
}

Should be Price5 , Price6 in the last 2 lines instead of Price3, Price4

Raff

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  #4 (permalink)
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raff View Post
Hi Jon,

I apologize for posting in this thread, but I couldn't find a thread for the Spread6 indicator and I couldn't send you a private message .

Great work on the Spread6 indicator.

But, I think there is an error in the code.



Should be Price5 , Price6 in the last 2 lines instead of Price3, Price4

Raff

Very good eye! It has been awhile since I visited the code.

Jon

Writing to you from the wonderful province of Ontario, Canada. Home to the world's biggest natural negative ion generator, the Niagara Falls, and to those that dare to know how to go over it in a barrel. SALUTE!
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  #5 (permalink)
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Trader.Jon View Post
Greets!

I have noticed an interesting 'effect' of comparing backtesting to SIM trades on the same days. At least to me.

While using Enter****Limit(), and the target limit price being the close (( Closes[0][0] )) of the trigger bar, I never seem to get an entry price at the open of the next bar IF the trigger bar is a down bar, but can get an entry at the open of the next bar if the trigger bar is an up bar or neutral bar.

I will be trying to code a test into a strategy to run against multiple currency pairs and comparing SIM <> BackTest on the same day data. I realize I can never expect results to be the same, but my observations by eyeball are too consistent to ignore.

I do feel that this, if correct, can have a bigger impact on trades than most any indicator you can use.

Any code gurus to help out? I am trying to make this a 'total' test including ouput to excel and analysis tools available within that (which is well beyond my skill level).

IF you think I am bullocks,,, tell me so!! lol

Jon

I am an aspiring code guru, although I'm not there yet . What you say sounds like a serious bug in NinjaTrader. Is that what you meant?

Just to clarify, I think you are saying when you enter short at a limit using the closing price of the trigger bar, you never get an entry at the Open of the new bar.

Is that correct?

Even if the Open of the new bar is a tick down from the trigger bar Close?

You can discover what your enemy fears most by observing the means he uses to frighten you.
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  #6 (permalink)
Elite Member
Near the BEuTiFULL Horse Shoe
 
Futures Experience: Beginner
Platform: NinjaTrader
Broker/Data: MBTrading Dukascopy ZenFire
Favorite Futures: $EURUSD when it is trending
 
Trader.Jon's Avatar
 
Posts: 500 since Jul 2009
Thanks: 401 given, 176 received


Adamus View Post
I am an aspiring code guru, although I'm not there yet . What you say sounds like a serious bug in NinjaTrader. Is that what you meant?

Just to clarify, I think you are saying when you enter short at a limit using the closing price of the trigger bar, you never get an entry at the Open of the new bar.

Is that correct?

Even if the Open of the new bar is a tick down from the trigger bar Close?

That is correct, except I only use the Long ... except that the behavior is inconsistent .. ie market factors at work

Writing to you from the wonderful province of Ontario, Canada. Home to the world's biggest natural negative ion generator, the Niagara Falls, and to those that dare to know how to go over it in a barrel. SALUTE!
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