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Fast Market Replay (more than 500x)?


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Fast Market Replay (more than 500x)?

  #1 (permalink)
dream3r
Barcelona
 
Posts: 28 since Oct 2012
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Hello traders!
I would like to know a Market Replay issue. How is it posible to do a quicker market replay than 500x?

I realize to do a fast market replay is so difficult because the limitation of the program, but my strategies are tested in it and it's really important to me create a quicker benchmark.

Thank you in advance!!
dream3r

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  #2 (permalink)
 
MrYou's Avatar
 MrYou 
NC, USA
 
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@dream3r

The short answer is you can't without using a faster processor. An overclocked water-cooled CPU would be ideal.

If your strategies aren't using Level II data then I would suggest using the Strategy Analyzer for backtesting and walk forward testing.

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  #3 (permalink)
dream3r
Barcelona
 
Posts: 28 since Oct 2012
Thanks Given: 2
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MrYou View Post
@dream3r

The short answer is you can't without using a faster processor. An overclocked water-cooled CPU would be ideal.

If your strategies aren't using Level II data then I would suggest using the Strategy Analyzer for backtesting and walk forward testing.

Thank you for you answer.

Using Strategy Analizer I get so different results. Not for Level II, just for tick to tick analyzer.

I don't have a processor problem wit my computer. The problem is the limitation of the Market R. (500x). I would like get 1000x or 2000x or more! Is it possible modifying any parameter or properties in NT7?

Thank you!

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  #4 (permalink)
 
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 MrYou 
NC, USA
 
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dream3r View Post
Thank you for you answer.

Using Strategy Analizer I get so different results. Not for Level II, just for tick to tick analyzer.

I don't have a processor problem wit my computer. The problem is the limitation of the Market R. (500x). I would like get 1000x or 2000x or more! Is it possible modifying any parameter or properties in NT7?

Thank you!

No there is no parameter/property.

In order to get closer to accurate backtesting results you will want to use a 1 Minute or 1 Range data series for your executions. Meaning your EnterLong/ExitLong or EnterShort/ExitShort statements should use one of these two data series while your indicators and strategy decisions operate on other data series.

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  #5 (permalink)
dream3r
Barcelona
 
Posts: 28 since Oct 2012
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MrYou View Post
No there is no parameter/property.

In order to get closer to accurate backtesting results you will want to use a 1 Minute or 1 Range data series for your executions. Meaning your EnterLong/ExitLong or EnterShort/ExitShort statements should use one of these two data series while your indicators and strategy decisions operate on other data series.

mmm, yes, but my strategies are prepared to use it with some especific timeframe (and not Range). Depends of the candles or other market structure, the algorithm works better than others.

I think that the answer it's definately no.

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  #6 (permalink)
 
MrYou's Avatar
 MrYou 
NC, USA
 
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dream3r View Post
mmm, yes, but my strategies are prepared to use it with some especific timeframe (and not Range). Depends of the candles or other market structure, the algorithm works better than others.

I think that the answer it's definately no.

I'm afraid you're misunderstanding me. I will try to clarify.

Your strategy would use the specific time frames you require and your EnterLong/ExitLong/EnterShort/ExitShort statements would not use those specific time frames, they would use the 1 Minute time frame/data series.

In other words, in order to get "closer to accurate" backtesting results (there is no 100% accuracy) it is pretty much required that your strategy be a multi-time frame strategy in order to have your executions happen on a much smaller time frame than what your indicator decisions are based on.

For example, your indicators may make decisions on a 60 Minute time frame, but your executions (the EnterLong/ExitLong, etc. statements) should be specified to happen on a 1 Minute time frame/data series in order to get closer to accurate backtesting results.

Perhaps someone else can explain it better or more thoroughly than I.

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  #7 (permalink)
 
MrYou's Avatar
 MrYou 
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@dream3r

Reference the links in this post for examples on what you need to do.

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  #8 (permalink)
dream3r
Barcelona
 
Posts: 28 since Oct 2012
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MrYou View Post
@dream3r

Reference the links in this post for examples on what you need to do.

Thank you! I'll check it!

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Last Updated on November 26, 2012


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