Welcome to NexusFi: the best trading community on the planet, with over 150,000 members Sign Up Now for Free
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 for basic access, or support us by becoming an Elite Member -- see if you qualify for a discount below.
-- Big Mike, Site Administrator
(If you already have an account, login at the top of the page)
Yeah, it's not impossible to squeeze out great results from strategy analyzer but live results are a different story..
My problem seems to be adding granularity and ending up losing the trading logic somewhere in a pile of time-frames.
Strategies sure are sexier on higher time-frames..
Is their any specific way of avoiding said, "virtual or fake prices" ?
Can you help answer these questions from other members on NexusFi?
just want to be clear, the success I referred to is real. I back test using strategy analyzer, forward test on live data (sim), check to make sure the sim results are the "same" as the strategy analyzer (excluding slippage), then I go live. I have 1 live strategy now that is performing the same as it does on historic data. There have been no surprises.
The way to avoid fake prices is to know how the chosen bar is built and write your code to account for those bars. That's unavoidable. You have to educate yourself about the different bar types.
There are many other factors as well that will cause problems such as you describe. Those factors have been discussed in numerous threads on futures.io (formerly BMT) so try searching for back testing and you should be able to compile a pretty good list. In your research you will see many opinions that are completely contrary to mine so don't be discouraged about what you read. Stay focused on trying to build a list of things that cause a back tested strategy to fail when going live.
Unless you code your strategy for "intra-bar granularity" (as NT puts it), all your entry orders will occur the start of the next bar (as well as exit orders). Depending on the strategy, this may yield an overly rosy result. It may, as in my case, be overly-pessimistic. Many of my strategies do much better in Market Replay or Live testing than in backtest.
As one poster above mentioned, adding the intrabar granularity makes it easy to lose your strategy in the mishmash of multiple time trames. I have found that backtesting is a good negative test. That is, if it does not work in backtest, it probably will not work in real life.
Big Mike suggests going to the Trades tab, sorting the trades by bar length, and changing all trades of bar length one and positive profit to negative profit. I do something similar. Also, the Monte Carlo tool in the Strategy Analyzer is useful. I like to throuw out good trades until my steategy is breakeven. I use this to monitor the robustness of my system:
Sure. The output of the NT Monte Carlo tool are CDFs - Cumulative Distribution Functions. Remember the bell curve (Normal or Gaussian distrinution)? If you sum up the Normal distribution from all the way left to all the way right, you get the CDF. A CDF …
