FutureTrader112,

Tradestation will only be aware of four data points per bar by default - Open, High, Low, and Close. However, it will not be aware of how the bar developed from Open to Close, and will make assumptions. These assumptions will not necessarily reflect what actually happened at that time and can/will lead to backtesting results that are different to how the strategy would have behaved in real time at that time.

The look inside bar backtesting feature gives Tradestation the ability to load a finer resolution in the background and with that it is able to more accurately tell how the bars developed which in turn helps in getting a more accurate result. If your strategy can enter or exit during a bar you will usually want to use this feature.

One way of avoiding the need for tick data could be to design systems that only issue market orders at the end of the bar. If I recall it correctly @kevinkdog showed a few examples of profitable strategies designed this way in his webinars he did for futures.io.

Regards,

ABCTG

FutureTrader112 

Any suggestions how to avoid that? Should I use a "normal" TP? Atm its a floating riskmanagement and without it I would think the efficiency of the strategy would decrease significally

ABCTG 

FutureTrader112, Tradestation will only be aware of four data points per bar by default - Open, High, Low, and Close. However, it will not be aware of how the bar developed from Open to Close, and will make assumptions. These assumptions will not necessarily reflect what actually happened at that time and can/will lead to backtesting results that are different to how the strategy would have behaved in real time at that time. The look inside bar backtesting feature gives Tradestation the ability to load a finer resolution in the background and with that it is able to more accurately tell how the bars developed which in turn helps in getting a more accurate result. If your strategy can enter or exit during a bar you will usually want to use this feature. One way of avoiding the need for tick data could be to design systems that only issue market orders at the end of the bar. If I recall it correctly @kevinkdog showed a few examples of profitable strategies designed this way in his webinars he did for futures.io. Regards, ABCTG

Hi ABCTG,

thanks for your explanation, its more clear now.

I dont want to go into to much detail here, but the strategy buys via a Market Order at next Bar only the Close could be inside a Bar with the SL or TP. Maybe they solve the "issue" with interactive regarding the Tickdata soon.

So far I monitored the trades in real time and it looks good, I will keep you guys updated and I will definitly have a look at the webinars of @kevinkdog

FutureTrader112 

Any suggestions how to avoid that? Should I use a "normal" TP? Atm its a floating riskmanagement and without it I would think the efficiency of the strategy would decrease significally

Avoid it by not using it. You can create a trailing stop yourself (or find one already created, maybe here or at Tradestation forum, for example) that does not need tick data.

Hi all,

Iam sorry I didnt follow up on this thread. Iam to busy at work right now, because of an acquisition we did. I hope I can put some time in during Christmas.

Cheers,
FutureTrader112

Hi FutureTrader112,

I just saw this post today (2021-01-23).

Are you still looking for feedback?

Is it working well in real-time?

Do you have a current Strategy Performance Report?

njhprovo 

Hi FutureTrader112, I just saw this post today (2021-01-23). Are you still looking for feedback? Is it working well in real-time? Do you have a current Strategy Performance Report?

Hi,

Yes Iam still looking for feedback! Its highly appreciated!

ATM Iam not able to trade it on a live or demo account, because of my current working hours.

Thanks,
FutureTrader112

From my experience this strategy will not backtest correctly without tick data. Without tick data the backtesting engine does not know which direction the bar went first and it is giving you the benefit of the doubt that your trailing stop filled prior to your stop loss. The easiest solution would be to get tick data (6 months may be all you get) and test with that. I guarantee your equity curve will look far different. Even removing the trailing stop and utilizing hard profit and stop losses will not backtest this correctly without tick data. You are only guaranteed to do it correctly if both your stop and profit target don't both occur in the same bar, otherwise Tradestation doesn't know which hit first.

ShadowFox 

From my experience this strategy will not backtest correctly without tick data. Without tick data the backtesting engine does not know which direction the bar went first and it is giving you the benefit of the doubt that your trailing stop filled prior to your stop loss. The easiest solution would be to get tick data (6 months may be all you get) and test with that. I guarantee your equity curve will look far different. Even removing the trailing stop and utilizing hard profit and stop losses will not backtest this correctly without tick data. You are only guaranteed to do it correctly if both your stop and profit target don't both occur in the same bar, otherwise Tradestation doesn't know which hit first.

The trailing stop - definitely needs tick data.

Hard Profit and Stop Losses - may need tick data if they are both small values (think scalping). Otherwise using 1 minute Look Inside Bar Backtest resolution should be fine - that is what I use on almost all my strategies.

I agree a simple 3 month test is the best way to see:
A) No Look Inside Bar Backtesting
B) Look Inside Bar Backtesting set at 1 minute
C) Look Inside Bar Backtesting set at 1 tick


If A&B or A&C give same results, then LIBB is not needed.

If B&C give same results, different than A, then 1 minute LIBB is likely sufficient

If A, B and C are all different, 1 tick resolution is likely needed, which limits backtest length to 6 months.

When back testing my strategies, I usually start with 10 years of data, that covers a bull market and 2020's chaos. After I have refined my strategy to perform to my expectations through every month, I then refine my strategy for current market conditions (2 year back test). Every quarter I optimize my variables using 2 years of data from that point to keep my strat relevant. I run hard stops in my code and the results of my back testing vs actual market conditions are in align with each other.

Hi FutureTrader112,

Working from home is great for part time traders unless they stuff you full of work of course.

As far as I know, Interactive Brokers doesn't have historical tick data.

Would your strategy have 1 trade active at the time, or could that be more?
Anyway, I would recommend to start with paper trading to make sure it is generating profits real-time. Then move to either a CFD (IBDE30 at Interactive Brokers, 1 euro per point) or FDXM (5 euro per point). This CFD doesn't have the same price as FDAX (currently 13 points difference), but it moves similar. FDXM is just the mini of the FDAX and trades well. Build up some profits, and use a pre defined scheme when you increase the number of contracts to trade, and when to decrease as well. So, the more you made, the more contracts you trade, and work your way up to FDAX.

I'm not a backtesting expert, but I think others give some valuable input in this thread already.

I hope you are able to continue at some point and to show your results here. Good luck!!

Cheers
Deetee

edit: Also DAX micros (1 euro per point) are coming up 19th April. I assume liquidity will be low at the start:

Eurex launching Micro Euro STOXX 50 (FXSE) and Micro DAX (FDXS) futures The link for the details in the screenshot is: Morad let me know that Edge Clear met with Eurex upper management end of last year to urge them to launch this type of product, for traders like most of us here on FIO, with reasonable fees. Eurex …