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I'm trying to quantify the pain and suffering I'm going to incur by switching to MC.
Have any of you made this transition? How difficult is it? How long did it take you to become as proficient (or at least 90% proficient) with MC compared to the things you could accomplish on TS?
What broker(s) are you guys using and what would you recommend when using MC?
"A dumb man never learns. A smart man learns from his own failure and success. But a wise man learns from the failure and success of others."
Can you help answer these questions from other members on NexusFi?
I have never used TS so unfortunately cannot help here directly. I made the transition from Ninja to MC, so I would expect the transition from TS would be considerably easier.
I have never had any issues with taking TS code and compiling it within MC - so I would be surprised if you experiences issues there.
You might experience issues with data / broker connections though.
It will be very easy .. Or similar for indicators and chart setup atleast .. But for that your indicator needs to be open code.. If it closed or protected eld then you wont be able to import it to mc unless you open it up. Other then that its really simple. for broker's i wont be able to help you as i never used it for trading... But from what i hear its simple enuff.. Hope it helps... Best of luck...
Does anyone know the particular advantages of MC to TS with respect to backtesting?
Specifically.....will MC backtest tick/tick or intrabarordergeneration = true?
How far back will MC backtest for regular time based bar strategies?
How far back will MC backtest for range bar based strategies?
Can MC backtest using multiple data streams (i.e. signals off one chart, entries and exits on another chart)?
If not, does MC offer backtesting using global variables?
I saw a thread about MC working on features like advanced renko bars (I'm so envious of guys who can use better renko charts or renko charts with wicks/tails).
"A dumb man never learns. A smart man learns from his own failure and success. But a wise man learns from the failure and success of others."
I've never hit any limits in backtesting for range, tick or time, but my data only goes back a until 2009. I sometimes have three data sets used in back testing and never had issues (unlike Ninja). Just takes some time, especially when you turn on bar magnifier or intrabar order generation.
6 months for tick based bar types and 18 months for basic bar types.
Tradestation cannot backtest IOG.
Tradestation cannot backtest with two data series.
Tradestation cannot backtest with DLLs
Tradestation cannot backtest with "inside bar look" (essentially tick/tick) with range bar charts (or any other advanced bar chart).
Essentially, if you trade off advanced bar types....you're stuck with 6 months of backtesting and it can only be backtested at the close/open of the bar. Some basic inside the bar features will work (like basic, static trailing stops) but those have to be "massaged" to ensure the backtest isn't "biased" (essentially, if you backtest on a renko bar and your stop loss is anything less than 2x the renko bar range, the backtest will be VERY positively biased.) If you backtest with a simple trailing stop on range bars...not only is it limited to 6 months, your trailing stop has to be in increments of the range bar value....so if it's a 50 tick range bar, then your trails have to be 50 ticks or 100 ticks....etc. The backtest has no idea of the order or ongoings intrabar).
If you trade even on basic time based bar charts...you must massage your strategy using crazy creative workarounds on bar close/open otherwise you cannot backtest it. You cannot backtest any sort of "advanced" exit or entry strategies that require intrabar calculations.
So as it stands, I have an incredibly awesome strategy based on a range bar application that I'm able to get 6 months of backtesting data for.
It performs incredibly awesome for 6 months, but is that enough to give you confidence to risk it live?
"A dumb man never learns. A smart man learns from his own failure and success. But a wise man learns from the failure and success of others."
Seriously though I wouldn't expect you hit any issues with back testing on MC as I regularly test on range charts with 18 months of data, although I only use bar magnifier and not intra bar order generation due to the type of strategies I am currently developing.
I made the transition earlier this year after 3 years using TS. It was apparent within 1 or 2 days that there could be no going back. MC is all the (good) things that various people have claimed.
For me the benefits were primarily speed (eg. loading workspaces, backtesting), and the ability to work with a choice of brokers for auto trade execution. After much deliberation I have gone with IB but making that choice was very difficult.
I don't trust backtesting tick by tick but supposedly MC does it and for range bar charts too. It can backtest multiple data streams but not intrabar I don't think. Global variables and ADE work exactly the same as in TS and I use them extensively.
Regarding what you said about TS's limitations on back test periods, the limit is due to lack of data going back any further, eg. 6 months of tick data is all that you can obtain, but if your cache goes back further then you can backtest further. With MC you can get data from many sources but very few give you even as much as 6 months tick data, so in some ways TS is good. I still use TS data to feed MC.
I have found that loading tick data such as that in the Elite section works well with MC but is very difficult and incredibly slow with TS.
I honestly don't think that pain and suffering is what you will get, but I don't know what issues you may face that might not apply to me. The 'live chat' support is nothing short of oustanding. I would say allow yourself a week to test MC and the decision should be easy.
TS will only allow 6 months of charting on "advanced" bar types or bar types that require tick resolution to construct. Having said that, ironically, even though the chart construction requires tick data, it will not allow you to backtest with "look inside bar" backtesting, on range bars, even though the bar has to be constructed that way.
I would be somewhat happy just to backtest "end of bar" with range bars, but go back further than 6 months...is that or is that not possible with MC?
"A dumb man never learns. A smart man learns from his own failure and success. But a wise man learns from the failure and success of others."
I backtest with range bars, but have to "massage" my strategy so that any trailing stop has to have a trail in increments of the range bar size.
So if the range bar is 50 ticks, then the trail has to be either 50, 100, 150, etc....ticks. Otherwise the backtest is positively biased.
It essentially limits my strategy optimization with respect to trail amounts.
Having said that, I've been able to craft successful strategies, even with that limitation, but I would love to be able to verify them further back than 6 months.
"A dumb man never learns. A smart man learns from his own failure and success. But a wise man learns from the failure and success of others."
