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Strategy Trade Bars
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Strategy Trade Bars

  #1 (permalink)
Trading Apprentice
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Strategy Trade Bars

Is there something to take in to account if my strategy trades are made mainly in 1 bar?

I mean, if it was real life (not backtesting) those orders will be fill If automated?

Thanks

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  #2 (permalink)
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zaico View Post
Is there something to take in to account if my strategy trades are made mainly in 1 bar?

I mean, if it was real life (not backtesting) those orders will be fill If automated?

Thanks

Your questions breaks into a number of questions

1. if you create an ATM strategy, then it is important how you code your entry
if the piece of code is written in such a way, that you check at the close of a bar
then you could only get a fill in the next bar if the price hits your entry

2. if you have a profit target and or S/L order in the market, then one of those
limits will be filled, even if your strategy code only works on bar close, but you
may consider also running parts of your strategy, if you desire a higher granularity
control over your order

In short

OnBarUpdate () -> executes when the bar is formed
OnMarketUpdate () -> executes on every tick in the market

So you have control yourself, it depends how you write your code.

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  #3 (permalink)
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My strategy is basic, based on checking a chart pattern. So I assume this must be OnBarUpdate. Then if the pattern is found I set a limit entry and a stop loss if the entry is filled. In this case, reading your answer I understand OnBarUpdate is enough. Correct?

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  #4 (permalink)
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Are things like this that worry me. It it possible in real life what you see on the photo?
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  #5 (permalink)
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zaico View Post
Are things like this that worry me. It it possible in real life what you see on the photo?

What exactly are you wondering about whether it's possible?

Also, there's no timeframe in the pic.

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  #6 (permalink)
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xplorer View Post
What exactly are you wondering about whether it's possible?

Also, there's no time frame in the pic.

You are right sorry. Here is one with the time frame. I ask if its possible for a down bar on a backtest to have the long entry down and the stop profit at the top? I understand the bottom part, where the buy is, is the last to be made. So I assume it can't happen. Correct?

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  #7 (permalink)
Market Wizard
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zaico View Post
You are right sorry. Here is one with the time frame. I ask if its possible for a down bar on a backtest to have the long entry down and the stop profit at the top? I understand the bottom part, where the buy is, is the last to be made. So I assume it can't happen. Correct?

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Well, difficult for me to say, depends on what triggers the strategy I think?


Your reasoning is correct in that the red bar is supposed to be a down bar which opens at the top and closes at the bottom, but without knowing how that specific minute went and not knowing the strategy's logic I'd say it's hard to come to a conclusion.

Are you able to break that minute into smaller bars? E.g. a non-time-based bar?

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  #8 (permalink)
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xplorer View Post
Well, difficult for me to say, depends on what triggers the strategy I think?


Your reasoning is correct in that the red bar is supposed to be a down bar which opens at the top and closes at the bottom, but without knowing how that specific minute went and not knowing the strategy's logic I'd say it's hard to come to a conclusion.

Are you able to break that minute into smaller bars? E.g. a non-time-based bar?

Can't find a way to use non-time-based bar on backtesting bar. Is there any?

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  #9 (permalink)
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zaico View Post
Can't find a way to use non-time-based bar on backtesting bar. Is there any?

I don't know but the way to find out what happened is to use the non-time bars and take a snapshot at that period in time. No need to worry about backtesting.

At least this way you can tell whether price went straight down or went down, then up, then down.


Then you need to validate what triggers the strategy would have operated on.


Does it make sense?

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  #10 (permalink)
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I understand, but the thing is I can only access to that time through backtesting because it's a demo account. Anyway I'll try If there's a time frame I can access with the current contract data.

Can you give some clue on how to use non-time bars. I've read something but I don't get anything clear.

thanks agains

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